A note on parameter estimation for misspecified regression models with heteroskedastic errors

DOI10.1214/17-EJS1255zbMATH Open1362.62142arXiv1509.05810OpenAlexW2964247990MaRDI QIDQ527079FDOQ527079

Authors: James P. Long 

Publication date: 16 May 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: Misspecified models often provide useful information about the true data generating distribution. For example, if $y$ is a non-linear function of $x$ the least squares estimator $$ is an estimate of $$, the slope of the best linear approximation to the non-linear function. Motivated by problems in astronomy, we study how to incorporate observation measurement error variances into fitting parameters of misspecified models. Our asymptotic theory focuses on the particular case of linear regression where often weighted least squares procedures are used to account for heteroskedasticity. We find that when the response is a non-linear function of the independent variable, the standard procedure of weighting by the inverse of the observation variances can be counter-productive. In particular, ordinary least squares may have lower asymptotic variance. We construct an adaptive estimator which has lower asymptotic variance than either OLS or standard WLS. We demonstrate our theory in a small simulation and apply these ideas to the problem of estimating the period of a periodic function using a sinusoidal model.

Full work available at URL: https://arxiv.org/abs/1509.05810

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zbMATH Keywords

heteroskedasticitymodel misspecificationsandwich estimatorsweighted least squaresastrostatisticsapproximate models

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05)

Cited In (4)

• Title not available (Why is that?)
• Specification Testing of Regression Models with Mixed Discrete and Continuous Predictors
• Calibration of Inexact Computer Models with Heteroscedastic Errors
• Asymptotic analysis of the squared estimation error in misspecified factor models

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