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Statistics & Probability Letters, Vol. 83, No. 3. (March 2013), pp. 829-835, doi:10.1016/j.spl.2012.12.001 Key: citeulike:12027834
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Intuitively one might expect that the quality of statistical estimates cannot worsen if they are based on more data. We show in a least-squares linear regression setting that this intuition is wrong. Adding data may worsen the quality of parameter estimates, and in fact may even cause a design sequence to lose strong consistency.
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