Large Deviations for the LS Estimator in Nonlinear Regression Model under Sub-linear Expectations

Abstract

In this paper, we investigate some asymptotic properties of the least squares estimator in nonlinear regression model with independent and identically distributed random errors under sub-linear expectations. The large deviation results for the estimator are established under some general conditions. As applications, the results on weak consistency and strong consistency are obtained under the meaning of capacity. A simulation study is also presented to verify the validity of the theoretical results.