Analysis of least squares regression estimates in case of additional errors in the variables

DOI10.1016/j.jspi.2010.05.031zbMath1197.62036MaRDI QIDQ710765

Michael Kohler, Andreas Fromkorth

Publication date: 22 October 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.05.031

zbMATH Keywords

rate of convergence; consistency; American options; errors in variables; least squares estimates; regression-based Monte Carlo methods

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

65C05: Monte Carlo methods

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