共查询到20条相似文献,搜索用时 15 毫秒
1.
ON ASYMPTOTIC NORMALITY OF PARAMETERS IN LINEAR EV MODEL 总被引:2,自引:0,他引:2
This paper studies the parameter estimation of one dimensional linear errors-in-variables (EV) models in the case that replicated observations are available in some experimental points. Asymptotic normality is established under mild conditions, and the parameters entering the asymptotic variance are consistently estimated to render the result useable in construction of large-sample confidence regions. 相似文献
2.
Fazekas István Kukush Alexander G. 《Statistical Inference for Stochastic Processes》2000,3(3):199-223
A linear model observed in a spatial domain is considered. Consistency and asymptotic normality of the least squares estimator
is proved when the observations become dense in a sequence of increasing domains and the error terms are weakly dependent.
Similar statements are obtained for the linear errors-in-variables model.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
3.
关于EV线性回归模型中的广义最小二乘估计 总被引:3,自引:0,他引:3
本文考虑EV(errors-in-variables)线性模型.在一般的条件下证明了广义最小二乘估计的强收敛和渐近正态性,然后在小样本意义下给出了模拟结果. 相似文献
4.
Jixue LIU 《数学年刊B辑(英文版)》2006,27(6):675-682
Though EV model is theoretically more appropriate for applications in which measurement errors exist, people are still more inclined to use the ordinary regression models and the traditional LS method owing to the difficulties of statistical inference and computation. So it is meaningful to study the performance of LS estimate in EV model. In this article we obtain general conditions guaranteeing the asymptotic normality of the estimates of regression coefficients in the linear EV model. It is noticeable that the result is in some way different from the corresponding result in the ordinary regression model. 相似文献
5.
ASYMPTOTIC NORMALITY OF PARAMETERSESTIMATION IN EV MODEL WITH REPLICATEDOBSERVATIONS 总被引:2,自引:0,他引:2
1 IntroductionFOrnully the EV (Errors-ill-Vaiables) nrodel is just tlie regressiOli medel with both depen-dent aud iudependeut variables arc subject to error (see, fOr exan1ple, [21~[71 alid tlie literaturecited tl1ere). Collsiderillg tliat iu mauy practical aPplications, taking replicated observationspresellts lio esseutial dimculties. heuce can offer a couveuiellt choice in avoidillg artilicia1 as-sunWtions about tlie nlodel. This case was studied ill essay [11, in which estinators of a … 相似文献
6.
该文考虑协变量缺失时的多元线性EV模型参数的估计, 其中协变量的缺失机制是Rubin(1976)提出的随机缺失(MAR).
利用加权调整最小二乘方法给出参数估计, 证明了估计的相合性和渐近正态性. 数值模拟结果表明所给的估计性态良好. 相似文献
7.
Model checking in errors-in-variables regression 总被引:1,自引:0,他引:1
This paper discusses a class of minimum distance tests for fitting a parametric regression model to a class of regression functions in the errors-in-variables model. These tests are based on certain minimized distances between a nonparametric regression function estimator and a deconvolution kernel estimator of the conditional expectation of the parametric model being fitted. The paper establishes the asymptotic normality of the proposed test statistics under the null hypothesis and that of the corresponding minimum distance estimators. We also prove the consistency of the proposed tests against a fixed alternative and obtain the asymptotic distributions for general local alternatives. Simulation studies show that the testing procedures are quite satisfactory in the preservation of the finite sample level and in terms of a power comparison. 相似文献
8.
Longcheen Huwang Y. H. Steve Huang Yi-Hua Tina Wang 《Annals of the Institute of Statistical Mathematics》2009,61(4):789-810
Consider an ordinary errors-in-variables model. The true level α
n
(θ*) of a test at nominal level α and sample size n is said to be pointwise robust if α
n
(θ*) → α as n → ∞ for each parameter θ*. Let Ω* be a set of values of θ*. Define α
n
= sup
θ*
∈Ω*α
n
(θ*). The test is said to be uniformly robust over Ω* if α
n
→ α as n → ∞. Corresponding definitions apply to the coverage probabilities of confidence sets. It is known that all existing large-sample
tests for the parameters of the errors-in-variables model are pointwise robust. However, they might not be uniformly robust
over certain null parameter spaces. In this paper, we construct uniformly robust tests for testing the vector coefficient
parameter and vector slope parameter in the functional errors-in-variables model. These tests are established through constructing
the confidence sets for the same parameters in the model with similar desirable property. Power comparisons based on simulation
studies between the proposed tests and some existing tests in finite samples are also presented. 相似文献
9.
10.
CUI HengjianDepartment of Mathematics Statistical Data Analysis Laboratory Beijing Normal University Beijing China 《中国科学A辑(英文版)》2004,47(1):144-159
The aim of this work is to construct the parameter estimators in the partial linear errors-in-variables (EV) models and explore their asymptotic properties. Unlike other related references, the assumption of known error covariance matrix is removed when the sample can be repeatedly drawn at each designed point from the model. The estimators of interested regression parameters, and the model error variance, as well as the non-parametric function, are constructed. Under some regular conditions, all of the estimators prove strongly consistent. Meanwhile, the asymptotic normality for the estimator of regression parameter is also presented. A simulation study is reported to illustrate our asymptotic results. 相似文献
11.
Xu-Ping Zhong Wing-Kam Fung Bo-Cheng Wei 《Annals of the Institute of Statistical Mathematics》2002,54(3):595-606
The independent variables of linear mixed models are subject to measurement errors in practice. In this paper, we present a unified method for the estimation in linear mixed models with errors-in-variables, based upon the corrected score function of Nakamura (1990, Biometrika, 77, 127–137). Asymptotic normality properties of the estimators are obtained. The estimators are shown to be consistent and convergent at the order of n
–1/2. The performance of the proposed method is studied via simulation and the analysis of a data set on hedonic housing prices. 相似文献
12.
频率模型平均估计近年来受到了较大的关注,但对有测量误差的观测数据尚未见到任何研究.文章主要考虑了线性测量误差模型的平均估计问题,导出了模型平均估计的渐近分布,基于Hjort和Claeskens(2003)的思想构造了一个覆盖真实参数的概率趋于预定水平的置信区间,并证明了该置信区间与基于全模型正态逼近所构造的置信区间的渐近等价性.模拟结果表明当协变量存在测量误差时,模型平均估计能明显增加点估计的效率. 相似文献
13.
Weixing Song 《Statistics & probability letters》2010,80(3-4):169-176
In this paper, we establish the pointwise and uniform moderate deviations limit results for the deconvolution kernel density estimator in the errors-in-variables model, when the measurement error possesses an ordinary smooth distribution. The results are similar to the moderate deviations theorems for the classical kernel density estimators, but a factor related to the ordinary smooth order is needed to account for the measurement errors. 相似文献
14.
由于时间序列数据中经常出现的厚尾特征使得通常的估计方法不再具有渐近的正态分布,在误差项二阶矩有限的条件下考虑了非线性自回归序列的L_1估计.采用局部线性近似的方法得到了具有凸样本路径的随机过程,在此基础上利用凸样本路径随机过程弱收敛的性质证明了非线性自回归序列L_1估计的渐近正态性及无偏性. 相似文献
15.
考虑纵向数据下混合效应EV模型。对带有惩罚项的Profile广义最小二乘方法进行了修正。利用矩估计法和ML-based EM算法给出了固定效应,随机效应以及协方差阵的估计。在一般的条件下,给出了固定效应估计的强相合性和渐近正态性,并对所提出的各种估计进行了模拟研究。模拟效果不错。 相似文献
16.
This paper presents a statistic for testing the hypothesis of elliptical symmetry. The statistic also provides a specialized test of multivariate normality. We obtain the asymptotic distribution of this statistic under the null hypothesis of multivariate normality, and give a bootstrapping procedure for approximating the null distribution of the statistic under an arbitrary elliptically symmetric distribution. We present simulation results to examine the accuracy of the asymptotic distribution and the performance of the bootstrapping procedure. Finally, for selected alternatives, we compare the power of our test statistic with that of recently proposed tests for elliptical symmetry given by Manzotti et al. [A statistic for testing the null hypothesis of elliptical symmetry, J. Multivariate Anal. 81 (2002) 274-285] and Schott [Testing for elliptical symmetry in covariance-matrix-based analyses, Statist. Probab. Lett. 60 (2002) 395-404], and with that of the well known tests for multivariate normality of Mardia [Measures of multivariate skewness and kurtosis with applications, Biometrika 57 (1970) 519-530] and Baringhaus and Henze [A consistent test for multivariate normality based on the empirical characteristic function, Metrika 35 (1988) 339-348]. 相似文献
17.
Censored regression (“Tobit”) models have been in common use, and their linear hypothesis testings have been widely studied.
However, the critical values of these tests are usually related to quantities of an unknown error distribution and estimators
of nuisance parameters. In this paper, we propose a randomly weighting test statistic and take its conditional distribution
as an approximation to null distribution of the test statistic. It is shown that, under both the null and local alternative
hypotheses, conditionally asymptotic distribution of the randomly weighting test statistic is the same as the null distribution
of the test statistic. Therefore, the critical values of the test statistic can be obtained by randomly weighting method without
estimating the nuisance parameters. At the same time, we also achieve the weak consistency and asymptotic normality of the
randomly weighting least absolute deviation estimate in censored regression model. Simulation studies illustrate that the
performance of our proposed resampling test method is better than that of central chi-square distribution under the null hypothesis.
This work was supported by National Natural Science Foundation of China (Grant No. 10471136), PhD Program Foundation of the
Ministry of Education of China, and Special Foundations of the Chinese Academy of Sciences and University of Science and Technology
of China 相似文献
18.
Robust estimation procedures for linear and mixture linear errors-in-variables regression models are proposed based on the relationship between the least absolute deviation criterion and maximum likelihood estimation in a Laplace distribution. The finite sample performance of the proposed procedures is evaluated by simulation studies. 相似文献
19.
Sangyeol Lee Okyoung Na Seongryong Na 《Annals of the Institute of Statistical Mathematics》2003,55(3):467-485
In this paper we consider the problem of testing for a variance change in nonstationary and nonparametric time series models.
The models under consideration are the unstable AR(q) model and the fixed design nonparametric regression model with a strong mixing error process. In order to perform a test,
we employ the cusum of squares test introduced by Inclán and Tiao (1994,J. Amer. Statist. Assoc.,89, 913–923). It is shown that the limiting distribution of the test statistic is the sup of a standard Brownian bridge as seen
in iid random samples. Simulation results are provided for illustration. 相似文献
20.
Hirokazu Yanagihara 《Journal of multivariate analysis》2003,84(2):222-246
This paper is concerned with the null distribution of test statistic T for testing a linear hypothesis in a linear model without assuming normal errors. The test statistic includes typical ANOVA test statistics. It is known that the null distribution of T converges to χ2 when the sample size n is large under an adequate condition of the design matrix. We extend this result by obtaining an asymptotic expansion under general condition. Next, asymptotic expansions of one- and two-way test statistics are obtained by using this general one. Numerical accuracies are studied for some approximations of percent points and actual test sizes of T for two-way ANOVA test case based on the limiting distribution and an asymptotic expansion. 相似文献