New multivariate central limit theorems in linear structural and functional error-in-variables models

Details New multivariate central limit theorems in linear structural and functional error-in-variables models New multivariate central limit theorems in linear structural and functional error-in-variables models

2007-09-06

arxiv.org/abs/0709.0871v1

Electronic Journal of Statistics 2007, Vol. 1, 347-380

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/07-EJS075 in the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by t

Scientific paper

10.1214/07-EJS075

This paper deals simultaneously with linear structural and functional error-in-variables models (SEIVM and FEIVM), revisiting in this context generalized and modified least squares estimators of the slope and intercept, and some methods of moments estimators of unknown variances of the measurement errors. New joint central limit theorems (CLT's) are established for these estimators in the SEIVM and FEIVM under some first time, so far the most general, respective conditions on the explanatory variables, and under the existence of four moments of the measurement errors. Moreover, due to them being in Studentized forms to begin with, the obtained CLT's are a priori nearly, or completely, data-based, and free of unknown parameters of the distribution of the errors and any parameters associated with the explanatory variables. In contrast, in related CLT's in the literature so far, the covariance matrices of the limiting normal distributions are, in general, complicated and depend on various, typically unknown parameters that are hard to estimate. In addition, the very forms of the CLT's in the present paper are universal for the SEIVM and FEIVM. This extends a previously known interplay between a SEIVM and a FEIVM. Moreover, though the particular methods and details of the proofs of the CLT's in the SEIVM and FEIVM that are established in this paper are quite different, a unified general scheme of these proofs is constructed for the two models herewith.

Affiliated with

Also associated with

No associations

Rating

New multivariate central limit theorems in linear structural and functional error-in-variables models does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with New multivariate central limit theorems in linear structural and functional error-in-variables models, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and New multivariate central limit theorems in linear structural and functional error-in-variables models will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-657934