Prediction in polynomial errors-in-variables models

DOI10.15559/20-VMSTA154MaRDI QIDQ2209744zbMATH OpenFDO

Authors Ivan Senko, A. Kukush

Publication date 4 November 2020

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.14818

zbMATH Keywords

confidence intervalconsistent estimator of best predictionmultivariate errors-in-variables modelordinary least squarespolynomial errors-in-variables modelprediction

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) General nonlinear regression (62J02) Linear regression; mixed models (62J05) Inference from stochastic processes and prediction (62M20)

Abstract: A multivariate errors-in-variables (EIV) model with an intercept term, and a polynomial EIV model are considered. Focus is made on a structural homoskedastic case, where vectors of covariates are i.i.d. and measurement errors are i.i.d. as well. The covariates contaminated with errors are normally distributed and the corresponding classical errors are also assumed normal. In both models, it is shown that (inconsistent) ordinary least squares estimators of regression parameters yield an a.s. approximation to the best prediction of response given the values of observable covariates. Thus, not only in the linear EIV, but in the polynomial EIV models as well, consistent estimators of regression parameters are useless in the prediction problem, provided the size and covariance structure of observation errors for the predicted subject do not differ from those in the data used for the model fitting.

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Cited in

(8)

• Estimation in a linear errors-in-variables model under a mixture of classical and Berkson errors
• Testing the suitability of polynomial models in errors-in-variables problems
• Prediction after IV estimation
• Estimating parameters of polynomial models with errors in variables and no additional information
• Estimation and Prediction for Low Degree Polynomial Models Under Measurement Errors with an Application to Forest Harvesters
• scientific article; zbMATH DE number 536566 (Why is no real title available?)
• Prediction in Some Poisson Errors in Variables Models
• Regression prediction method that is based on the partial errors-in-variables model

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