Behavior of R-estimators under measurement errors

DOI10.3150/14-BEJ687zbMATH Open1388.62207arXiv1411.3609OpenAlexW3099802057MaRDI QIDQ265293FDOQ265293

Jan Picek, Radim Navrátil, Hira L. Koul, Jana Jurečková

Publication date: 1 April 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: As was shown recently, the measurement errors in regressors affect only the power of the rank test, but not its critical region. Noting that, we study the effect of measurement errors on R-estimators in linear model. It is demonstrated that while an R-estimator admits a local asymptotic bias, its bias surprisingly depends only on the precision of measurements and does neither depend on the chosen rank test score-generating function nor on the regression model error distribution. The R-estimators are numerically illustrated and compared with the LSE and $L_1$ estimators in this situation.

Full work available at URL: https://arxiv.org/abs/1411.3609

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zbMATH Keywords

measurement errorlinear regression modelcontiguitylinear rank statisticlocal asymptotic biasR-estimate

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

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Cited In (5)

• Rank tests in regression model based on minimum distance estimates
• Aligned rank tests in measurement error model.
• A class of optimization problems motivated by rank estimators in robust regression
• QuantifyingR²bias in the presence of measurement error
• Title not available (Why is that?)

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