Estimation in multivariate errors-in-variables models
From MaRDI portal
This paper reviews and extends some of the known results in the estimation in errors-in-variables models, treating the structural and the functional cases on a unified basis. The generalized least-squares method proposed by some previous authors is extended to the case where the error covariance matrix contains an unknown vector parameter. This alleviates the difficulty of multiple roots arising from defining estimators as roots to a set of unbiased estimating equations. An alternative method is also considered for cases with both known and unknown error covariance matrix. The relationship between this method and the usual maximum-likelihood and generalized least-squares approaches is also investigated, and it is shown that in a special case they do not necessarily give identical results in finite samples. Finally, asymptotic results are presented.
Recommendations
- Estimation for the multivariate errors-in-variables model with estimated error covariance matrix
- scientific article; zbMATH DE number 3940485
- Parameter estimation of errors-in-variables models
- Errors-in-Variables Estimation in Multivariate Calibration
- Multivariate regression estimation with errors-in-variables for stationary processes
- Inference in multivariate regression models with measurement errors
- Estimation in mixed effects model with errors in variables
Cites work
- An inequality with application to multivariate analysis
- Efficiency of estimating equations and the use of pivots
- Estimating linear statistical relationships
- Estimation for the multivariate errors-in-variables model with estimated error covariance matrix
- Estimation in a multivariate errors in variables regression model: Large sample results
- Estimation of multivariate linear functional relationships
- scientific article; zbMATH DE number 3117083 (Why is no real title available?)
- scientific article; zbMATH DE number 3870410 (Why is no real title available?)
- scientific article; zbMATH DE number 3723704 (Why is no real title available?)
- scientific article; zbMATH DE number 3806738 (Why is no real title available?)
- scientific article; zbMATH DE number 3238272 (Why is no real title available?)
- scientific article; zbMATH DE number 3271181 (Why is no real title available?)
- scientific article; zbMATH DE number 3396952 (Why is no real title available?)
- Maximum likelihood estimation in a multivariate ‘errors in variables’ regression model with unknown error covariance matrix
Cited in
(53)- On the errors-in-variables problem for time series
- Generalized least squares estimation of the functional multivariate linear errors-in-variables model
- Efficient estimation in the errors in variables model
- The set of observationally equivalent errors-in-variables models
- Estimation of dynamic econometric models with errors in variables
- Estimation of multiplicative measurement-error models and some simulation results
- Estimation in linear models with random effects and errors-in-variables
- Estimation in mixed effects model with errors in variables
- Multicointegration under measurement errors
- Estimation for a longitudinal linear model with measurement errors
- Comparing estimation methods of non-stationary errors-in-variables models
- A small sigma approach to certain problems in errors-in-variables models
- New multivariate central limit theorems in linear structural and functional error-in-variables models
- Estimating a bivariate linear relationship
- Multiple-model estimation with variable structure. II: Model-set adaptation
- An overview of linear structural models in errors in variables regression
- Some statistical properties of the vector multiplicative error model
- Multivariate EIV models
- scientific article; zbMATH DE number 3885144 (Why is no real title available?)
- scientific article; zbMATH DE number 3843010 (Why is no real title available?)
- Errors in variables: consistent adjusted least squares (cals) estimation
- Consistent estimator in multivariate errors-in-variables model in the case of unknown error covariance structure
- Conditional inference for treatment and error in multivariate analysis
- ERRORS IN VARIABLES IN ECONOMETRICS: NEW DEVELOPMENTS AND RECURRENT THEMES
- Estimation of σ2in the multiplicative interaction model
- scientific article; zbMATH DE number 3967714 (Why is no real title available?)
- scientific article; zbMATH DE number 4032846 (Why is no real title available?)
- scientific article; zbMATH DE number 4091376 (Why is no real title available?)
- scientific article; zbMATH DE number 16258 (Why is no real title available?)
- Errors-in-Variables Estimation in Multivariate Calibration
- A combined estimator in the simple errors-in-variables model
- scientific article; zbMATH DE number 1058081 (Why is no real title available?)
- scientific article; zbMATH DE number 1058082 (Why is no real title available?)
- scientific article; zbMATH DE number 1058083 (Why is no real title available?)
- scientific article; zbMATH DE number 1136450 (Why is no real title available?)
- AN ESTIMATION METHOD IN TIME SERIES ERRORS-IN-VARIABLES MODELS
- On estimation of parameters in the bivariate linear errors-in-variables model
- scientific article; zbMATH DE number 926565 (Why is no real title available?)
- scientific article; zbMATH DE number 938996 (Why is no real title available?)
- M-estimates for the multiplicative error model
- Errors-in-variables and the wavelet multiresolution approximation approach: a Monte Carlo study
- On parameter estimation for high dimensional errors-in-variables models
- Corrected-loss joint estimation in a linear EV model
- Estimation and inference of error-prone covariate effect in the presence of confounding variables
- Asymptotic variance-covariance matrices for the linear structural model
- Multiplicative errors-in-variables beta regression
- A multivariate ultrastructural errors-in-variables model with equation error
- Fast and robust estimation of the multivariate errors in variables model
- Statistical inference for models with multivariate t-distributed errors
- An error estimator for separated representations of highly multidimensional models
- Measurement error models with nonconstant covariance matrices
- The influence function in the errors in variables problem
- Estimation for the multivariate errors-in-variables model with estimated error covariance matrix
This page was built for publication: Estimation in multivariate errors-in-variables models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1069614)
