Regression with strongly correlated data

DOI10.1016/J.JMVA.2008.02.008zbMATH Open1149.62057arXivmath/0702843OpenAlexW2020772737WikidataQ58315145 ScholiaQ58315145MaRDI QIDQ953868FDOQ953868

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)

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.

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

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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)

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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
• Defense of the least squares solution to Peelle's pertinent puzzle
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