This paper studies the convergence rate of the least squares estimators â
iN to the regrescion coefficient a
j in the linear model
.First we discuss the conditions for the upper limit of
to be zero or finite (a.s.),when {X
(n)} is a sequence of martin;gale differences and {σ
j},{
bn} are non-random sequences.Then we discuss the convergence rate of â
iN.Particularly for {X
(n)} i.i.d.with
N(0,1),we obtain the best convergence rate.