On estimation of a heteroscedastic measurement error model under heavy-tailed distributions

DOI10.1016/J.CSDA.2011.08.011zbMATH Open1239.62067OpenAlexW2091253439MaRDI QIDQ425409FDOQ425409

Jinguan Lin, Chun-Zheng Cao, Xiao-Xin Zhu

Publication date: 8 June 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.08.011

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zbMATH Keywords

EM algorithmmaximum likelihoodequation errorscale mixtures of normal distribution

Mathematics Subject Classification ID

Estimation in survival analysis and censored data (62N02) Estimation in multivariate analysis (62H12)

Cites Work

• Estimating the dimension of a model
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• Measurement Error in Nonlinear Models
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• Assessment of diagnostic procedures in symmetrical nonlinear regression models
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• On estimation and local influence analysis for measurement errors models under heavy-tailed distributions
• Robust inference in an heteroscedastic measurement error model
• A heteroscedastic structural errors-in-variables model with equation error
• On estimation and influence diagnostics for the Grubbs' model under heavy-tailed distributions

Cited In (10)

• Robust replicated heteroscedastic measurement error model using heavy-tailed distribution
• Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions
• Influence diagnostics for Grubbs's model with asymmetric heavy-tailed distributions
• Inference for Errors-in-Variables Models in the Presence of Systematic Errors with an Application to a Satellite Remote Sensing Campaign
• A heteroscedastic measurement error model based on skew and heavy-tailed distributions with known error variances
• Modified likelihood ratio tests in heteroskedastic multivariate regression models with measurement error
• On mean estimation for heteroscedastic random variables
• Heteroscedastic replicated measurement error models under asymmetric heavy-tailed distributions
• Improved estimation in a general multivariate elliptical model
• Bayesian inference in a heteroscedastic replicated measurement error model using heavy-tailed distributions

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