Behavior of R-estimators under measurement errors

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

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

Publication date 1 April 2016

Published in Bernoulli (Search for Journal in Brave)

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

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)

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.

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Cited In (8)

• Aligned rank tests in measurement error model.
• A class of optimization problems motivated by rank estimators in robust regression
• R-estimation of the parameters of a multiple regression model with measurement errors
• Nonparametric estimation of regression parameters in measurement error models
• QuantifyingR²bias in the presence of measurement error
• Rank tests of symmetry and R-estimation of location parameter under measurement errors
• Rank tests in regression model based on minimum distance estimates.
• Title not available (Why is no real title available?)

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