On estimation of a heteroscedastic measurement error model under heavy-tailed distributions

DOI10.1016/j.csda.2011.08.011zbMath1239.62067OpenAlexW2091253439MaRDI QIDQ425409

Jin-Guan Lin, Chun-Zheng Cao, Xiao-Xin Zhu

Publication date: 8 June 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.08.011

zbMATH Keywords

EM algorithmmaximum likelihoodequation errorscale mixtures of normal distribution

Mathematics Subject Classification ID

Related Items (8)

Robust replicated heteroscedastic measurement error model using heavy-tailed distribution ⋮ Bayesian inference in a heteroscedastic replicated measurement error model using heavy-tailed distributions ⋮ Heteroscedastic replicated measurement error models under asymmetric heavy-tailed distributions ⋮ Improved estimation in a general multivariate elliptical model ⋮ A heteroscedastic measurement error model based on skew and heavy-tailed distributions with known error variances ⋮ Influence diagnostics for Grubbs's model with asymmetric heavy-tailed distributions ⋮ Modified likelihood ratio tests in heteroskedastic multivariate regression models with measurement error ⋮ Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions

Cites Work

• A heteroscedastic structural errors-in-variables model with equation error
• On estimation and local influence analysis for measurement errors models under heavy-tailed distributions
• On estimation and influence diagnostics for the Grubbs' model under heavy-tailed distributions
• Assessment of diagnostic procedures in symmetrical nonlinear regression models
• Estimating the dimension of a model
• Robust inference in an heteroscedastic measurement error model
• Measurement Error in Nonlinear Models
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