Weighted Stochastic Restricted Estimation in Linear Measurement Error Models

被引:7
|
作者
Li, Wenxue [1 ]
Yang, Hu [1 ]
机构
[1] Chongqing Univ, Coll Math & Stat, Chongqing 401331, Peoples R China
基金
中国国家自然科学基金;
关键词
Consistent estimation; Measurement errors; Reliability matrix; Stochastic linear restrictions; 62F10; 62F12;
D O I
10.1080/03610918.2011.650260
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
This article discusses the consistent estimation of the parameters in a linear measurement error model when stochastic linear restrictions on regression coefficients are available. We propose some methodologies to obtain the consistent estimation when either the covariance matrix of the measurement errors or the reliability matrix of independent variables is known. Their finite- and large-sample properties are derived with not necessarily normal errors. A Monte Carlo simulation is carried out to study the the finite properties of the estimators.
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页码:932 / 968
页数:37
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