Constructs a one-parameter family of bivariate distributions on a fixed half-space where the weighted least squares estimator for the parameter converges at a rate faster than the classic square root rate, coinciding with MLE in the Gaussian variance mixture case.
Kent, Michael Sorensen (1982)
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Fast Convergence for Weighted Least Squares Estimates
Constructs a one-parameter family of bivariate distributions on a fixed half-space where the weighted least squares estimator for the parameter converges at a rate faster than the classic square root rate, coinciding with MLE in the Gaussian variance mixture case.