Asymptotics for weakly dependent errors-in-variables

MaRDI QIDQ2868778zbMATH OpenFDO

Authors Michal Pešta

Publication date 19 December 2013

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1306.5311, http://dml.cz/handle/10338.dmlcz/143519?show=full

zbMATH Keywords

asymptotic normalitydependent errorserrors-in-variables (EIV)total least squares (TLS)

Mathematics Subject Classification ID

Linear inference, regression (62J99) Asymptotic distribution theory in statistics (62E20) Random matrices (algebraic aspects) (15B52) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Stochastic matrices (15B51)

Abstract: Linear relations, containing measurement errors in input and output data, are taken into account in this paper. Parameters of these so-called errors-in-variables (EIV) models can be estimated by minimizing the total least squares (TLS) of the input-output disturbances. Such an estimate is highly non-linear. Moreover in some realistic situations, the errors cannot be considered as independent by nature. Weakly dependent (alpha- and phi-mixing) disturbances, which are not necessarily stationary nor identically distributed, are considered in the EIV model. Asymptotic normality of the TLS estimate is proved under some reasonable stochastic assumptions on the errors. Derived asymptotic properties provide necessary basis for the validity of block-bootstrap procedures.

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Cited in

(7)

• Changepoint in dependent and non-stationary panels
• Strongly consistent estimation in dependent errors-in-variables
• Tensor changepoint detection and eigenbootstrap
• Asymptotic normality of total least squares estimator in a multivariate errors-in-variables model \(AX = B\)
• EIV regression with bounded errors in data: total `least squares' with Chebyshev norm
• Asymptotische Verteilungen einiger Schätzverfahren bei Trend und Fehlern in den Variablen. (Asymptotic distributions of some estimates in case of trend and errors in variables)
• Block bootstrap for dependent errors-in-variables

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