英文文献：Tightness of M-estimators for multiple linear regression in time series-时间序列多元线性回归的m估计的紧密性
英文文献作者：S?ren Johansen,Bent Nielsen
英文文献摘要：
We show tightness of a general M-estimator for multiple linear regression in time series. The positive criterion function for the M-estimator is assumed lower semi-continuous and sufficiently large for large argument: Particular cases are the Huber-skip and quantile regression. Tightness requires an assumption on the frequency of small regressors. We show that this is satisfied for a variety of deterministic and stochastic regressors, including stationary an random walks regressors. The results are obtained using a detailed analysis of the condition on the regressors combined with some recent martingale results.

给出了时间序列中多元线性回归一般m估计的紧密性。假设m估计量的正判据函数是低半连续且足够大的，特殊情况是跳跃回归和分位数回归。紧密性要求对小回归的频率进行假设。我们证明这是满足的各种确定性和随机回归，包括平稳随机游动回归。通过对回归元的条件的详细分析，结合一些最近的鞅结果，得到了这些结果。