Estimation and Test for Multi-Dimensional Regression Models

DOI10.1080/03610920701271194MaRDI QIDQ5438324zbMATH OpenOpenAlexFDO

Authors Joseph Rynkiewicz

Publication date 23 January 2008

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0802.2676

zbMATH Keywords

asymptotic normalitymultivariate regressiontime seriesnonlinear regressionozon pollution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to environmental and related topics (62P12)

Abstract: This work is concerned with the estimation of multidimensional regression and the asymptotic behaviour of the test involved in selecting models. The main problem with such models is that we need to know the covariance matrix of the noise to get an optimal estimator. We show in this paper that if we choose to minimise the logarithm of the determinant of the empirical error covariance matrix, then we get an asymptotically optimal estimator. Moreover, under suitable assumptions, we show that this cost function leads to a very simple asymptotic law for testing the number of parameters of an identifiable and regular regression model. Numerical experiments confirm the theoretical results.

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Cites work

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Cited in

(7)

• Exact testing in multivariate regression
• Assessing the Number of Linear Components in a General Regression Problem
• M-tests for multivariate regression model
• A Review on Dimension-Reduction Based Tests For Regressions
• The optimal choice of the multi-functional index: cross-validation method
• scientific article; zbMATH DE number 4090613 (Why is no real title available?)
• Optimal estimation of direction in regression models with large number of parameters

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