Estimation in a simple random effects model with nonnormal distributions

DOI10.1093/BIOMET/89.4.831zbMATH Open1036.62055OpenAlexW2077739060MaRDI QIDQ4455372FDOQ4455372

Authors: D. R. Cox, Peter Hall 

Publication date: 16 March 2004

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/89.4.831

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zbMATH Keywords

random effects\(U\)-statisticcumulantmomentgroup effectcomponents of variancesnonnormal error distribution

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Analysis of variance and covariance (ANOVA) (62J10)

Cited In (19)

• Covariance based moment equations for improved variance component estimation
• Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation
• Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
• Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models
• Efficient estimation of moments in linear mixed models
• Estimation in additive models and ANOVA-like applications
• Testing for random effects in linear mixed models for longitudinal data under moment conditions
• Nonparametric estimation of normal ranges given one-way ANOVA random effects assumptions.
• Estimation in linear mixed models for longitudinal data under linear restricted conditions
• Testing for distributional features in varying coefficient panel data models
• Inference in components of variance models with low replication
• Assessing skewness, kurtosis and normality in linear mixed models
• Robust estimation of moments in dynamic panel models with potential intercorrelation
• Robust density power divergence estimates for panel data models
• An orthogonality-based estimation of moments for linear mixed models
• Finite sample theory of QMLE in ARCH models with dynamics in the mean equation
• Efficient estimation for rank-based regression with clustered data
• Estimating Moments in Linear Mixed Models
• BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST

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