scientific article; zbMATH DE number 1409873
The authors consider the linear functional errors-in-variables model \[ (1)\qquad y_{i}=\xi_{i}\beta_0+\delta_{i},\quad x_{i}=\xi_{i}+\varepsilon_{i}, \] where the vectors \(y_{i}\) and \(x_{i}\) are observed, \(i=1,2,\ldots,n.\) The error terms are \(\delta_{i}\) and \(\varepsilon_{i}\) with the expected values zero. The \(k\)-dimensional row vectors \(\xi_{i}\) are the nonrandom nuisance parameters. The \(k\times r\)-dimensional matrix \(\beta_0\) is the true value of the parameter \(\beta\) to be estimated. The \(r+k\)-dimensional row vectors \(z_{i}\) of observations are of the form \(z_{i}= (y_{i},x_{i})=\xi_{i}(\beta_0,I_{k})+E_{i}\), with \(E_{i}=(\delta_{i},\varepsilon_{i})\), where \(I_{k}\) denotes the \(k\times k\) unit matrix. For each observation the components of \(E_{i}\) are correlated: \[ {\text{cov}}(E_{i})=\Gamma=\begin{pmatrix} \Gamma_{11}&\Gamma_{12}\\ \Gamma_{21}&\Gamma_{22}\end{pmatrix}. \] There exists a weak dependence between \(E_{i}\) and \(E_{i+m}.\) This dependence is described by mixing conditions. The main result of this paper states that the situation in the errors-in-variables model differs from the situation in ordinary regression models. If \(k\geq r\), then consistency of the weighted least squares estimator holds only in the case where the weight matrix is proportional to \(\Gamma^{-1}.\) The other result of the paper is the consistency of the properly weighted least squares estimator for a linear functional model with dependent errors.
- scientific article; zbMATH DE number 1516535
- Generalized least squares estimation of the functional multivariate linear errors-in-variables model
- On consistency of the least squares estimators in linear errors-in-variables models with infinite variance errors
- Asymptotic properties of estimators in nonlinear functional errors-in-variables with dependent error terms
- A consistent estimator in general functional errors-in-variables models.
- On consistency of the weighted least squares estimators in a semiparametric regression model
- Consistency of elementwise-weighted total least squares estimator in a multivariate errors-in-variables model \(AX=B\)
- A Consistent Estimator for Linear Models with Dependent Observations
- On consistency of the least squares estimators in linear errors-in-variables models with infinite variance errors
- scientific article; zbMATH DE number 1516535 (Why is no real title available?)
- Improvement of estimators in a linear regression problem with random errors in coefficients
- Consistent estimation in a linear regression problem with random errors in coefficients
- Weighted least-squares estimators of parametric functions of the regression coefficients under a general linear model
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