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Iterative Weighted Least Squares Estimators In Heteroscedastic Linear Models With Asymmetric Error Distribution
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Book Synopsis Iterative Weighted Least Squares Estimators in Heteroscedastic Linear Models with Asymmetric Error Distribution by : Qiuhua Jill Jiang
Download or read book Iterative Weighted Least Squares Estimators in Heteroscedastic Linear Models with Asymmetric Error Distribution written by Qiuhua Jill Jiang and published by . This book was released on 1994 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Qiuhua Jill Jiang Publisher :National Library of Canada = Bibliothèque nationale du Canada ISBN 13 :9780315950535 Total Pages :76 pages Book Rating :4.9/5 (55 download)
Book Synopsis Iterative Weighted Least Squares Estimators in Heteroscedastic Linear Models with Asymmetric Error Distribution [microform] by : Qiuhua Jill Jiang
Download or read book Iterative Weighted Least Squares Estimators in Heteroscedastic Linear Models with Asymmetric Error Distribution [microform] written by Qiuhua Jill Jiang and published by National Library of Canada = Bibliothèque nationale du Canada. This book was released on 1994 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
Book Synopsis Heteroscedastic Linear Model Estimation Based on Ranks by : Themba Louis Nyirenda
Download or read book Heteroscedastic Linear Model Estimation Based on Ranks written by Themba Louis Nyirenda and published by . This book was released on 2009 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: For standard estimators, data that are heteroscedastic in nature contain outlying values which can lead to poor performance. In this study, we present a robust interactive method for estimating the location and scale parameters in the general linear model, using a rank based method. It is assumed that the errors are symmetric about 0 and the variance function model is nonlinear with respect to the scale coefficients and the design. The function is known up to a scale constant. We propose taking the logarithm of the absolute values of the variance function to linearize it. The rank estimation of the scale coefficients amounts to regressing logs of absolute residuals from an initial rank based fit on to the design. The resulting scale coefficient estimates are used to form scale constants in a weighted signed-rank method. Thus, iterating between these two rank based methods leads to the desired estimates that are obtained from linear model fits for both types of coefficients. For the heteroscedastic linear model under consideration, this study has made the following contributions: (1) the asymptotic normality results that are established here show that the estimators are both consistent and highly efficient; (2) in each estimation problem, the Iterated Reweighted Least Squares (IRWLS) formulation for rank methods of Sievers and Abebe (2004) is employed with the other parameter substituted by their corresponding estimates from an appropriate iteration; (3) the high efficiency and good robustness qualities of the proposed method are confirmed by simulation trials that were conducted in two-sample problem, several groups and general linear models; (4) the inlier issue that is a consequence of employing the log transformation is also investigated and shown to be well curtailed by the proposed method and (5) finally, the method is shown to outperform other methods when applied to real life data from a Psychiatric Clinical Trial containing two treatments, one covariate, and one confounding variable. Thus, for samples larger than 20, the proposed method is highly robust and efficient under non-normal distributions.
Book Synopsis Estimation of Linear Models Under Heteroscedasticity by : R. V. S. Prasad
Download or read book Estimation of Linear Models Under Heteroscedasticity written by R. V. S. Prasad and published by LAP Lambert Academic Publishing. This book was released on 2014-01 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the Present book Chapter I is an introductory one. It contains the general introduction about the problem of heteroscedasticity. Chapter II describes some aspects of linear models with their inferential problems. It deals with some basic statistical results about Gauss-Markov linear model besides the restricted least squares estimation and its application to the tests of general linear hypotheses. Chapter III presents a brief review on the existing estimation methods for linear models under the various specifications of heteroscedastic variances. Chapter IV deals with the analysis and examination of different types of residuals with their applications in the regression analysis. It also contains the restricted residuals in 'Seemingly Unrelated Regression' (SUR) systems. Chapter V proposes some new estimation procedures for linear models under heteroscedasticity. Chapter VI depicts the conclusions .Several references articles regarding the estimation for linear models under heteroscedasticity have been presented under a title "BIBLIOGRAPHY."
Book Synopsis Heteroscedasticity, Simultaneous Specification Test, and Nonparametric Least Squares Estimators in the Discrete and Censored Regression Model by : Choon-Geol Moon
Download or read book Heteroscedasticity, Simultaneous Specification Test, and Nonparametric Least Squares Estimators in the Discrete and Censored Regression Model written by Choon-Geol Moon and published by . This book was released on 1987 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis ON SCALE MIXTURES OF UNIFORM DISTRIBUTIONS AND THE LATENT WEIGHTED LEAST SQUARES METHOD by : STEPHEN WALKER, PAUL DAMIEN AND MARY MEYER
Download or read book ON SCALE MIXTURES OF UNIFORM DISTRIBUTIONS AND THE LATENT WEIGHTED LEAST SQUARES METHOD written by STEPHEN WALKER, PAUL DAMIEN AND MARY MEYER and published by . This book was released on 1997 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimating Weights in Heteroscedastic Regression Models by Applying Least Squares to Squared Or Absolute Residuals by : Raymond J. Carroll
Download or read book Estimating Weights in Heteroscedastic Regression Models by Applying Least Squares to Squared Or Absolute Residuals written by Raymond J. Carroll and published by . This book was released on 1985 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This document considers a nonlinear regression model for which the variances depend on a parametric function of known variables. The authors focus on estimating the variance function, after what it is typical to estimate the mean function by weighted least squares. Most often, squared residuals from an unweighted least squares fit are compared to their expectations and used to estimate the variance function. If properly weighted such methods are asymptotically equivalent to normal-theory maximum likelihood. Instead, one could use the deviations of the absolute residuals from their expectations. Constructed is such an estimator of the variance function based on absolute residuals whose asymptotic efficiency relative to maximum likelihood is precisely the same for symmetric errors as the asymptotic efficiency in the one-sample problem of the mean absolute deviation relative to the sample variance. The estimators are computable using nonlinear least squares software. The results hold with minimal distributional assumptions. (Author).
Download or read book Mathematical Reviews written by and published by . This book was released on 2003 with total page 1448 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measurement Error Model Estimation Using Iteratively Weighted Least Squares by : Daniel W. Schafer
Download or read book Measurement Error Model Estimation Using Iteratively Weighted Least Squares written by Daniel W. Schafer and published by . This book was released on 1989 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Investigation of the Performance of Two Estimators of Heteroskedastic Limited Dependent Variable Models by : Jiann Chyun Hao
Download or read book An Empirical Investigation of the Performance of Two Estimators of Heteroskedastic Limited Dependent Variable Models written by Jiann Chyun Hao and published by . This book was released on 1992 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Work of Raymond J. Carroll by : Marie Davidian
Download or read book The Work of Raymond J. Carroll written by Marie Davidian and published by Springer. This book was released on 2014-06-06 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains Raymond J. Carroll's research and commentary on its impact by leading statisticians. Each of the seven main parts focuses on a key research area: Measurement Error, Transformation and Weighting, Epidemiology, Nonparametric and Semiparametric Regression for Independent Data, Nonparametric and Semiparametric Regression for Dependent Data, Robustness, and other work. The seven subject areas reviewed in this book were chosen by Ray himself, as were the articles representing each area. The commentaries not only review Ray’s work, but are also filled with history and anecdotes. Raymond J. Carroll’s impact on statistics and numerous other fields of science is far-reaching. His vast catalog of work spans from fundamental contributions to statistical theory to innovative methodological development and new insights in disciplinary science. From the outset of his career, rather than taking the “safe” route of pursuing incremental advances, Ray has focused on tackling the most important challenges. In doing so, it is fair to say that he has defined a host of statistics areas, including weighting and transformation in regression, measurement error modeling, quantitative methods for nutritional epidemiology and non- and semiparametric regression.
Book Synopsis On the Efficiencies of Several Generalized Least Squares Estimators in a Seemingly Unrelated Regression Model and a Heteroscedastic Model by : Hiroshi Kurata
Download or read book On the Efficiencies of Several Generalized Least Squares Estimators in a Seemingly Unrelated Regression Model and a Heteroscedastic Model written by Hiroshi Kurata and published by . This book was released on 1997 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Extended Iterative Weighted Least Squares: Estimation of a Linear Model in the Presence of Complications by : A. F. Goodman
Download or read book Extended Iterative Weighted Least Squares: Estimation of a Linear Model in the Presence of Complications written by A. F. Goodman and published by . This book was released on 1969 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper introduces an extended iterative weighted least squares procedure for solution of a classical problem in analysis of scientific and technical information: estimation in the presence of complications, of the coefficients for linearly independent component signals in a linear model, from observations on the component signals and a composite signal containing the linear model plus noise which is nonstationary and/or correlated with unknown covariance matrix.
Book Synopsis Current Index to Statistics, Applications, Methods and Theory by :
Download or read book Current Index to Statistics, Applications, Methods and Theory written by and published by . This book was released on 1999 with total page 948 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Current Index to Statistics (CIS) is a bibliographic index of publications in statistics, probability, and related fields.
Download or read book Working paper written by Ole Hesselager and published by . This book was released on 1986 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymptotic Properties of Maximum Likelihood Estimators in the General Sampling Framework, and Some Results in Non-normal Linear Regression by : Robert Ernest Tarone
Download or read book Asymptotic Properties of Maximum Likelihood Estimators in the General Sampling Framework, and Some Results in Non-normal Linear Regression written by Robert Ernest Tarone and published by . This book was released on 1974 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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