Distribution Theory Of The Least Squares Averaging Estimator

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Distribution Theory of the Least Squares Averaging Estimator

Author : Chu-An Liu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Distribution Theory of the Least Squares Averaging Estimator by : Chu-An Liu

Download or read book Distribution Theory of the Least Squares Averaging Estimator written by Chu-An Liu and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper derives the limiting distributions of least squares averaging estimators for linear regression models in a local asymptotic framework. We show that the averaging estimators with fixed weights are asymptotically normal and then develop a plug-in averaging estimator that minimizes the sample analog of the asymptotic mean squared error. We investigate the focused information criterion (Claeskens and Hjort, 2003), the plug-in averaging estimator, the Mallows model averaging estimator (Hansen, 2007), and the jackknife model averaging estimator (Hansen and Racine, 2012). We find that the asymptotic distributions of averaging estimators with data-dependent weights are nonstandard and cannot be approximated by simulation. To address this issue, we propose a simple procedure to construct valid confidence intervals with improved coverage probability. Monte Carlo simulations show that the plug-in averaging estimator generally has smaller expected squared error than other existing model averaging methods, and the coverage probability of proposed confidence intervals achieves the nominal level. As an empirical illustration, the proposed methodology is applied to cross-country growth regressions.

The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics

Author : Jeffrey Racine
Publisher : Oxford University Press
ISBN 13 : 0199857946
Total Pages : 562 pages
Book Rating : 4.1/5 (998 download)

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Book Synopsis The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics by : Jeffrey Racine

Download or read book The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics written by Jeffrey Racine and published by Oxford University Press. This book was released on 2014-04 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics. Chapters by leading international econometricians and statisticians highlight the interface between econometrics and statistical methods for nonparametric and semiparametric procedures.

Some Properties of the Least Squares Estimator in Regression Analysis when the Independent Variables are Stochastic

Author : P. K. Bhattacharya (Mathematician)
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Some Properties of the Least Squares Estimator in Regression Analysis when the Independent Variables are Stochastic by : P. K. Bhattacharya (Mathematician)

Download or read book Some Properties of the Least Squares Estimator in Regression Analysis when the Independent Variables are Stochastic written by P. K. Bhattacharya (Mathematician) and published by . This book was released on 1961 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: For the linear regression of y on x observations the loss in estimating the true regression function by another function is considered as a loss function. For the loss function, it is shown under certain conditions that if the class of estimates which are linear in y's and have bounded risk is non-empty, then the estimate obtained by the method of least squares belongs to this class and has uniformly minimum risk in this class. A necessary and sufficient condition on the distribution function of x observations is obtained for this class to be non-empty, which unfortunately is not easy to verify in particular cases and is violated in a ver simple situation. owever, by a sequential modification of the sampling scheme, this condition may always be satisfied at the cost of an arbitrarily small increase in the expected sa ple size. I T IS ALSO SHOWN UNDER CERTAIN FURTHER C NDITIONS ON THE FAMILY OF ADMISSIBLE DISTRIB TIONS THAT THE LEAST SQUARES ESTIMATOR IS MINIMAX IN THE CLASS OF ALL ESTIMATORS. (Author).

Model Averaging

Author : David Fletcher
Publisher : Springer
ISBN 13 : 3662585413
Total Pages : 107 pages
Book Rating : 4.6/5 (625 download)

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Book Synopsis Model Averaging by : David Fletcher

Download or read book Model Averaging written by David Fletcher and published by Springer. This book was released on 2019-01-17 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a concise and accessible overview of model averaging, with a focus on applications. Model averaging is a common means of allowing for model uncertainty when analysing data, and has been used in a wide range of application areas, such as ecology, econometrics, meteorology and pharmacology. The book presents an overview of the methods developed in this area, illustrating many of them with examples from the life sciences involving real-world data. It also includes an extensive list of references and suggestions for further research. Further, it clearly demonstrates the links between the methods developed in statistics, econometrics and machine learning, as well as the connection between the Bayesian and frequentist approaches to model averaging. The book appeals to statisticians and scientists interested in what methods are available, how they differ and what is known about their properties. It is assumed that readers are familiar with the basic concepts of statistical theory and modelling, including probability, likelihood and generalized linear models.

Essays in Honor of Subal Kumbhakar

Author : Christopher F. Parmeter
Publisher : Emerald Group Publishing
ISBN 13 : 1837978735
Total Pages : 487 pages
Book Rating : 4.8/5 (379 download)

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Book Synopsis Essays in Honor of Subal Kumbhakar by : Christopher F. Parmeter

Download or read book Essays in Honor of Subal Kumbhakar written by Christopher F. Parmeter and published by Emerald Group Publishing. This book was released on 2024-04-05 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is the editor’s distinct privilege to gather this collection of papers that honors Subhal Kumbhakar’s many accomplishments, drawing further attention to the various areas of scholarship that he has touched.

Confidence, Likelihood, Probability

Author : Tore Schweder
Publisher : Cambridge University Press
ISBN 13 : 0521861608
Total Pages : 521 pages
Book Rating : 4.5/5 (218 download)

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Book Synopsis Confidence, Likelihood, Probability by : Tore Schweder

Download or read book Confidence, Likelihood, Probability written by Tore Schweder and published by Cambridge University Press. This book was released on 2016-02-24 with total page 521 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book to develop a methodology of confidence distributions, with a lively mix of theory, illustrations, applications and exercises.

A Note on Amemiya's Form of the Weighted Least Squares Estimator

Author : Roger Koenker
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis A Note on Amemiya's Form of the Weighted Least Squares Estimator by : Roger Koenker

Download or read book A Note on Amemiya's Form of the Weighted Least Squares Estimator written by Roger Koenker and published by . This book was released on 1992 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Distribution-Free Theory of Nonparametric Regression

Author : László Györfi
Publisher : Springer Science & Business Media
ISBN 13 : 0387224424
Total Pages : 662 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis A Distribution-Free Theory of Nonparametric Regression by : László Györfi

Download or read book A Distribution-Free Theory of Nonparametric Regression written by László Györfi and published by Springer Science & Business Media. This book was released on 2006-04-18 with total page 662 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a systematic in-depth analysis of nonparametric regression with random design. It covers almost all known estimates. The emphasis is on distribution-free properties of the estimates.

The Limiting Distribution of the Least Squares Estimator in Nearly Integrated Seasonal Models

Author : Pierre Perron
Publisher : Montréal : Université de Montréal, Centre de recherche et développement en économique
ISBN 13 : 9782893820934
Total Pages : 18 pages
Book Rating : 4.8/5 (29 download)

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Book Synopsis The Limiting Distribution of the Least Squares Estimator in Nearly Integrated Seasonal Models by : Pierre Perron

Download or read book The Limiting Distribution of the Least Squares Estimator in Nearly Integrated Seasonal Models written by Pierre Perron and published by Montréal : Université de Montréal, Centre de recherche et développement en économique. This book was released on 1990 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Econometrics

Author : Zvi Griliches
Publisher : Elsevier
ISBN 13 : 0444532005
Total Pages : 1057 pages
Book Rating : 4.4/5 (445 download)

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Book Synopsis Handbook of Econometrics by : Zvi Griliches

Download or read book Handbook of Econometrics written by Zvi Griliches and published by Elsevier. This book was released on 1983 with total page 1057 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics.

Linear Least-squares Estimation

Author : Thomas Kailath
Publisher : Hutchinson Ross Publishing Company
ISBN 13 :
Total Pages : 344 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Linear Least-squares Estimation by : Thomas Kailath

Download or read book Linear Least-squares Estimation written by Thomas Kailath and published by Hutchinson Ross Publishing Company. This book was released on 1977 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: A survey of the field; Mathematical foundations of least-squares prediction theory; Wiener-hopf equations and optimum filters; State-space models and recursive filters.

Environmental and Ecological Statistics with R

Author : Song S. Qian
Publisher : CRC Press
ISBN 13 : 1498728731
Total Pages : 560 pages
Book Rating : 4.4/5 (987 download)

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Book Synopsis Environmental and Ecological Statistics with R by : Song S. Qian

Download or read book Environmental and Ecological Statistics with R written by Song S. Qian and published by CRC Press. This book was released on 2016-11-03 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emphasizing the inductive nature of statistical thinking, Environmental and Ecological Statistics with R, Second Edition, connects applied statistics to the environmental and ecological fields. Using examples from published works in the ecological and environmental literature, the book explains the approach to solving a statistical problem, covering model specification, parameter estimation, and model evaluation. It includes many examples to illustrate the statistical methods and presents R code for their implementation. The emphasis is on model interpretation and assessment, and using several core examples throughout the book, the author illustrates the iterative nature of statistical inference. The book starts with a description of commonly used statistical assumptions and exploratory data analysis tools for the verification of these assumptions. It then focuses on the process of building suitable statistical models, including linear and nonlinear models, classification and regression trees, generalized linear models, and multilevel models. It also discusses the use of simulation for model checking, and provides tools for a critical assessment of the developed models. The second edition also includes a complete critique of a threshold model. Environmental and Ecological Statistics with R, Second Edition focuses on statistical modeling and data analysis for environmental and ecological problems. By guiding readers through the process of scientific problem solving and statistical model development, it eases the transition from scientific hypothesis to statistical model.

Weighted-Average Least Squares Estimation of Generalized Linear Models

Author : Giuseppe De Luca
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Weighted-Average Least Squares Estimation of Generalized Linear Models by : Giuseppe De Luca

Download or read book Weighted-Average Least Squares Estimation of Generalized Linear Models written by Giuseppe De Luca and published by . This book was released on 2017 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The weighted-average least squares (WALS) approach, introduced by Magnus et al. (2010) in the context of Gaussian linear models, has been shown to enjoy important advantages over other strictly Bayesian and strictly frequentist model averaging estimators when accounting for problems of uncertainty in the choice of the regressors. In this paper we extend the WALS approach to deal with uncertainty about the specification of the linear predictor in the wider class of generalized linear models (GLMs). We study the large-sample properties of the WALS estimator for GLMs under a local misspecification framework that allows the development of asymptotic model averaging theory. We also investigate the finite sample properties of this estimator by a Monte Carlo experiment whose design is based on the real empirical analysis of attrition in the first two waves of the Survey of Health, Ageing and Retirement in Europe (SHARE).

Lectures on Linear Least-squares Estimation

Author : Thomas Kailath
Publisher :
ISBN 13 :
Total Pages : 188 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Lectures on Linear Least-squares Estimation by : Thomas Kailath

Download or read book Lectures on Linear Least-squares Estimation written by Thomas Kailath and published by . This book was released on 1976 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Regression Estimators

Author : Marvin H. J. Gruber
Publisher : Academic Press
ISBN 13 : 1483260976
Total Pages : 361 pages
Book Rating : 4.4/5 (832 download)

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Book Synopsis Regression Estimators by : Marvin H. J. Gruber

Download or read book Regression Estimators written by Marvin H. J. Gruber and published by Academic Press. This book was released on 2014-05-10 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regression Estimators: A Comparative Study presents, compares, and contrasts the development and the properties of the ridge type estimators that result from both Bayesian and non-Bayesian (frequentist) methods. The book is divided into four parts. The first part (Chapters I and II) discusses the need for alternatives to least square estimators, gives a historical survey of the literature and summarizes basic ideas in Matrix Theory and Statistical Decision Theory used throughout the book. The second part (Chapters III and IV) covers the estimators from both the Bayesian and from the frequentist points of view and explores the mathematical relationships between them. The third part (Chapters V-VIII) considers the efficiency of the estimators with and without averaging over a prior distribution. Part IV, the final two chapters IX and X, suggests applications of the methods and results of Chapters III-VII to Kaiman Filters and Analysis of Variance, two very important areas of application. Statisticians and workers in fields that use statistical methods who would like to know more about the analytical properties of ridge type estimators will find the book invaluable.

Understanding Least Squares Estimation and Geomatics Data Analysis

Author : John Olusegun Ogundare
Publisher : John Wiley & Sons
ISBN 13 : 1119501393
Total Pages : 724 pages
Book Rating : 4.1/5 (195 download)

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Book Synopsis Understanding Least Squares Estimation and Geomatics Data Analysis by : John Olusegun Ogundare

Download or read book Understanding Least Squares Estimation and Geomatics Data Analysis written by John Olusegun Ogundare and published by John Wiley & Sons. This book was released on 2018-11-13 with total page 724 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a modern approach to least squares estimation and data analysis for undergraduate land surveying and geomatics programs Rich in theory and concepts, this comprehensive book on least square estimation and data analysis provides examples that are designed to help students extend their knowledge to solving more practical problems. The sample problems are accompanied by suggested solutions, and are challenging, yet easy enough to manually work through using simple computing devices, and chapter objectives provide an overview of the material contained in each section. Understanding Least Squares Estimation and Geomatics Data Analysis begins with an explanation of survey observables, observations, and their stochastic properties. It reviews matrix structure and construction and explains the needs for adjustment. Next, it discusses analysis and error propagation of survey observations, including the application of heuristic rule for covariance propagation. Then, the important elements of statistical distributions commonly used in geomatics are discussed. Main topics of the book include: concepts of datum definitions; the formulation and linearization of parametric, conditional and general model equations involving typical geomatics observables; geomatics problems; least squares adjustments of parametric, conditional and general models; confidence region estimation; problems of network design and pre-analysis; three-dimensional geodetic network adjustment; nuisance parameter elimination and the sequential least squares adjustment; post-adjustment data analysis and reliability; the problems of datum; mathematical filtering and prediction; an introduction to least squares collocation and the kriging methods; and more. Contains ample concepts/theory and content, as well as practical and workable examples Based on the author's manual, which he developed as a complete and comprehensive book for his Adjustment of Surveying Measurements and Special Topics in Adjustments courses Provides geomatics undergraduates and geomatics professionals with required foundational knowledge An excellent companion to Precision Surveying: The Principles and Geomatics Practice Understanding Least Squares Estimation and Geomatics Data Analysis is recommended for undergraduates studying geomatics, and will benefit many readers from a variety of geomatics backgrounds, including practicing surveyors/engineers who are interested in least squares estimation and data analysis, geomatics researchers, and software developers for geomatics.

Statistical Methods for Forecasting

Author : Bovas Abraham
Publisher : John Wiley & Sons
ISBN 13 : 0470317299
Total Pages : 474 pages
Book Rating : 4.4/5 (73 download)

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Book Synopsis Statistical Methods for Forecasting by : Bovas Abraham

Download or read book Statistical Methods for Forecasting written by Bovas Abraham and published by John Wiley & Sons. This book was released on 2009-09-25 with total page 474 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Wiley-Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, mathematicians, and scientists. "This book, it must be said, lives up to the words on its advertising cover: 'Bridging the gap between introductory, descriptive approaches and highly advanced theoretical treatises, it provides a practical, intermediate level discussion of a variety of forecasting tools, and explains how they relate to one another, both in theory and practice.' It does just that!" -Journal of the Royal Statistical Society "A well-written work that deals with statistical methods and models that can be used to produce short-term forecasts, this book has wide-ranging applications. It could be used in the context of a study of regression, forecasting, and time series analysis by PhD students; or to support a concentration in quantitative methods for MBA students; or as a work in applied statistics for advanced undergraduates." -Choice Statistical Methods for Forecasting is a comprehensive, readable treatment of statistical methods and models used to produce short-term forecasts. The interconnections between the forecasting models and methods are thoroughly explained, and the gap between theory and practice is successfully bridged. Special topics are discussed, such as transfer function modeling; Kalman filtering; state space models; Bayesian forecasting; and methods for forecast evaluation, comparison, and control. The book provides time series, autocorrelation, and partial autocorrelation plots, as well as examples and exercises using real data. Statistical Methods for Forecasting serves as an outstanding textbook for advanced undergraduate and graduate courses in statistics, business, engineering, and the social sciences, as well as a working reference for professionals in business, industry, and government.