Regression with strongly correlated data

DOI10.1016/J.JMVA.2008.02.008MaRDI QIDQ953868zbMATHOpenAlexWikidataFDO

Authors Christopher S. Jones, J. M. Finn, Nicolas W. Hengartner

Publication date 6 November 2008

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0702843

zbMATH Keywords

regressionleast squaresinfill asymptoticshighly correlated errorsPeelle's pertinent puzzle

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Applications of statistics to physics (62P35)

Abstract: This paper discusses linear regression of strongly correlated data that arises, for example, in magnetohydrodynamic equilibrium reconstructions. We have proved that, generically, the covariance matrix of the estimated regression parameters for fixed sample size goes to zero as the correlations become unity. That is, in this limit the estimated parameters are known with perfect accuracy. Simple examples are shown to illustrate this effect and the nature of the exceptional cases in which the estimate covariance does not go to zero.

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Cited in

(4)

• Testing for spatial autocorrelation: the regressors that make the power disappear
• Alternatives to the least squares solution to Peelle's pertinent puzzle
• scientific article; zbMATH DE number 6913927 (Why is no real title available?)
• Defense of the least squares solution to Peelle's pertinent puzzle

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