Weighted denoised minimum distance estimation in a regression model with autocorrelated measurement errors | |
You, Jinhong1; Zhou, Xian2; Zhu, Lixing3; Zhou, Bin4 | |
刊名 | STATISTICAL PAPERS
![]() |
2011-05 | |
卷号 | 52期号:2页码:263-286 |
关键词 | Measurement errors Denoised minimum distance estimation Autoregressive process Auxiliary variable Asymptotic normality |
ISSN号 | 0932-5026 |
DOI | 10.1007/s00362-009-0227-7 |
英文摘要 | This paper deals with the linear regression model with measurement errors in both response and covariates. The variables are observed with errors together with an auxiliary variable, such as time, and the errors in response are autocorrelated. We propose a weighted denoised minimum distance estimator (WDMDE) for the regression coefficients. The consistency, asymptotic normality, and strong convergence rate of the WDMDE are proved. Compared with the usual denoised least squares estimator (DLSE) in the previous literature, the WDMDE is asymptotically more efficient in the sense of having smaller variances. It also avoids undersmoothing the regressor functions over the auxiliary variable, so that data-driven optimal choice of the bandwidth can be used. Furthermore, we consider the fitting of the error structure, construct the estimators of the autocorrelation coefficients and the error variances, and derive their large-sample properties. Simulations are conducted to examine the finite sample performance of the proposed estimators, and an application of our methodology to analyze a set of real data is illustrated as well. |
WOS研究方向 | Mathematics |
语种 | 英语 |
出版者 | SPRINGER |
WOS记录号 | WOS:000289792000001 |
内容类型 | 期刊论文 |
源URL | [http://10.2.47.112/handle/2XS4QKH4/2274] ![]() |
专题 | 上海财经大学 |
通讯作者 | You, Jinhong |
作者单位 | 1.Shanghai Univ Finance & Econ, Dept Stat, Shanghai 200433, Peoples R China; 2.Macquarie Univ, Sydney, NSW 2109, Australia; 3.Hong Kong Baptist Univ, Hong Kong, Hong Kong, Peoples R China; 4.E China Normal Univ, Shanghai 200062, Peoples R China |
推荐引用方式 GB/T 7714 | You, Jinhong,Zhou, Xian,Zhu, Lixing,et al. Weighted denoised minimum distance estimation in a regression model with autocorrelated measurement errors[J]. STATISTICAL PAPERS,2011,52(2):263-286. |
APA | You, Jinhong,Zhou, Xian,Zhu, Lixing,&Zhou, Bin.(2011).Weighted denoised minimum distance estimation in a regression model with autocorrelated measurement errors.STATISTICAL PAPERS,52(2),263-286. |
MLA | You, Jinhong,et al."Weighted denoised minimum distance estimation in a regression model with autocorrelated measurement errors".STATISTICAL PAPERS 52.2(2011):263-286. |
个性服务 |
查看访问统计 |
相关权益政策 |
暂无数据 |
收藏/分享 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论