New multivariate central limit theorems in linear structural and functional error-in-variables models

DOI10.1214/07-EJS075MaRDI QIDQ2426809zbMATH OpenFDO

Authors Yuliya V. Martsynyuk

Publication date 14 May 2008

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0709.0871

zbMATH Keywords

central limit theoremCholesky square root of a matrixdomain of attractionexplanatory variablesfull random vectorgeneralized domain of attractiongeneralized/modified least squares estimatoridentifiability assumptionsLindeberg's conditionlinear structural/functional error-in-variables modelmeasurement errorsmultivariate normal lawmultivariate Student statisticnormal lawpositive definite matrixslowly varying functionspherically symmetric random vectorsymmetric positive definite square root of a matrix

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Linear inference, regression (62J99)

Abstract: This paper deals simultaneously with linear structural and functional error-in-variables models (SEIVM and FEIVM), revisiting in this context generalized and modified least squares estimators of the slope and intercept, and some methods of moments estimators of unknown variances of the measurement errors. New joint central limit theorems (CLT's) are established for these estimators in the SEIVM and FEIVM under some first time, so far the most general, respective conditions on the explanatory variables, and under the existence of four moments of the measurement errors. Moreover, due to them being in Studentized forms to begin with, the obtained CLT's are a priori nearly, or completely, data-based, and free of unknown parameters of the distribution of the errors and any parameters associated with the explanatory variables. In contrast, in related CLT's in the literature so far, the covariance matrices of the limiting normal distributions are, in general, complicated and depend on various, typically unknown parameters that are hard to estimate. In addition, the very forms of the CLT's in the present paper are universal for the SEIVM and FEIVM. This extends a previously known interplay between a SEIVM and a FEIVM. Moreover, though the particular methods and details of the proofs of the CLT's in the SEIVM and FEIVM that are established in this paper are quite different, a unified general scheme of these proofs is constructed for the two models herewith.

Recommendations

• Central limit theorems in linear structural error-in-variables models with explanatory variables in the domain of attraction of the normal law
• The Central Limit Theorem for LS Estimator in Simple Linear EV Regression Models
• On consistency of the least squares estimators in linear errors-in-variables models with infinite variance errors
• Estimation in multivariate errors-in-variables models
• Central limit theorems for LS estimators in the EV regression model with dependent measure\-ments

Cited in

(3)

• Functional asymptotic confidence intervals for the slope in linear error-in-variables models
• Central limit theorems in linear structural error-in-variables models with explanatory variables in the domain of attraction of the normal law
• On consistency of the least squares estimators in linear errors-in-variables models with infinite variance errors

This page was built for publication: New multivariate central limit theorems in linear structural and functional error-in-variables models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2426809)