Weighted denoised minimum distance estimation in a regression model with autocorrelated measurement errors

doi:10.1007/s00362-009-0227-7

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	Weighted denoised minimum distance estimation in a regression model with autocorrelated measurement errors
	You, Jinhong 1; Zhou, Xian 2; Zhu, Lixing 3; Zhou, Bin 4
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.