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Author : Ole Hesselager
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (912 download)
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:
Author : J. Shao
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (897 download)
Download or read book Asymptotic Distribution of the Weighted Least Squares Estimator written by J. Shao and published by . This book was released on 1988 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ole Hesselager
Publisher :
ISBN 13 :
Total Pages : 6 pages
Book Rating : 4.:/5 (144 download)
Download or read book On the Asymptotic Distribution of Weighted Least Squares Estimators written by Ole Hesselager and published by . This book was released on 1986 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (227 download)
Download or read book Weighted Least Squares Estimators on the Frequency Domain for the Parameters of a Time Series written by and published by . This book was released on 1986 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: A procedure for estimating the parameters of a time series is proposed. The estimate minimizes a criterion function which is the weighted sum of squares of the distances between the periodograms and the spectrum of the series. Under mild conditions, the estimate is shown to be strongly consistent. The asymptotic distribution of the estimate is also obtained. With a proper choice of weighting function, the estimate has the same asymptotic distribution as the one for the maximum likelihood estimate. Simulations were carried out to evaluate the performance of the estimate.
Author : Hira Koul
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Asymptotic Distribution of the Bias Corrected Least Squares Estimators in Measurement Error Linear Regression Models Under Long Memory written by Hira Koul and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article derives the consistency and asymptotic distribution of the bias corrected least squares estimators (LSEs) of the regression parameters in linear regression models when covariates have measurement error (ME) and errors and covariates form mutually independent long memory moving average processes. In the structural ME linear regression model, the nature of the asymptotic distribution of suitably standardized bias corrected LSEs depends on the range of the values of where ,, and are the LM parameters of the covariate, ME and regression error processes respectively. This limiting distribution is Gaussian when and non-Gaussian in the case . In the former case some consistent estimators of the asymptotic variances of these estimators and a log()-consistent estimator of an underlying LM parameter are also provided. They are useful in the construction of the large sample confidence intervals for regression parameters. The article also discusses the asymptotic distribution of these estimators in some functional ME linear regression models, where the unobservable covariate is non-random. In these models, the limiting distribution of the bias corrected LSEs is always a Gaussian distribution determined by the range of the values of )-)
Author : Raymond J. Carroll
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (227 download)
Download or read book An Asymptotic Theory for Weighted Least Squares with Weights Estimated by Replication written by Raymond J. Carroll and published by . This book was released on 1988 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This document considers a heteroscedastic linear regression model with replication. To estimate the variances, one can use the sample variances or the sample average squared errors from a regression fit. The authors study the large sample properties of these weighted least squares estimates with estimated weights when the number of replicates is small. The estimates are generally inconsistent for asymmetrically distributed data. If sample variances are used based on m replicates, the weighted least squares estimates are inconsistent for m=2 replicates even when the data are normally distributed. With between 3 and 5 replicates, the rates of convergence are slower than the usual square root of N. With m> or = 6 replicates, the effect of estimating the weights is to increase variances by (m-5)/(m-3), relative to weighted least squares estimates with known weights. (KR).
Author :
Publisher :
ISBN 13 :
Total Pages : 180 pages
Book Rating : 4.:/5 (13 download)
Download or read book Nonparametric Estimation of Weights in Least-squares Regression Analysis written by and published by . This book was released on 1978 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Giuseppe De Luca
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (131 download)
Download or read book Asymptotic Properties of the Weighted-average Least Squares (WALS) Estimator written by Giuseppe De Luca and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the asymptotic behavior of the WALS estimator, a model-averaging estimator with attractive finite-sample and computational properties. WALS is closely related to the normal location model, and hence much of the paper concerns the asymptotic behavior of the estimator of the unknown mean in the normal local model. Since we adopt a frequentist-Bayesian approach, this specializes to the asymptotic behavior of the posterior mean as a frequentist estimator of the normal location parameter. We emphasize two challenging issues. First, our definition of ignorance in the Bayesian step involves a prior on the t-ratio rather than on the parameter itself. Second, instead of assuming a local misspecification framework, we consider a standard asymptotic setup with fixed parameters. We show that, under suitable conditions on the prior, the WALS estimator is √n-consistent and its asymptotic distribution essentially coincides with that of the unrestricted least-squares estimator. Monte Carlo simulations confirm our theoretical results.
Author : Roger Koenker
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)
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:
Author : Mithat Gonen
Publisher :
ISBN 13 :
Total Pages : 78 pages
Book Rating : 4.:/5 (375 download)
Download or read book Asymptotic Distribution of the Least Squares Estimator in the First-order Autoregressive Process written by Mithat Gonen and published by . This book was released on 1996 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. Shao
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (897 download)
Download or read book A Comparison of the Asymptotic Efficiency of Ordinary and Weighted Least Squares Estimators written by J. Shao and published by . This book was released on 1988 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert Ernest Tarone
Publisher :
ISBN 13 :
Total Pages : 190 pages
Book Rating : 4.:/5 (31 download)
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:
Author : Shuva Gupta
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (456 download)
Download or read book A Study of the Asymptotic Properties of Lasso Estimates for Correlated Data written by Shuva Gupta and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: In this thesis we investigate post-model selection properties of L1 penalized weighted least squares estimators in regression models with a large number of variables M and correlated errors. We focus on correct subset selection and on the asymptotic distribution of the penalized estimators. In the simple case of AR(1) errors we give conditions under which correct subset selection can be achieved via our procedure. We then provide a detailed generalization of this result to models with errors that have a weak-dependency structure (Doukhan 1996). In all cases, the number M of regression variables is allowed to exceed the sample size n. We further investigate the asymptotic distribution of our estimates, when M
Author : Carleton University. Laboratory for Research in Statistics and Probability
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (58 download)
Download or read book Asymptotic Behaviour of Weighted Least Squares Estimator in Linear Functional Error-in-variables Models written by Carleton University. Laboratory for Research in Statistics and Probability and published by . This book was released on 2001 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chu-An Liu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
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.
Author : Raymond J. Carroll
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (13 download)
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).
Author : A. Colin Cameron
Publisher : Cambridge University Press
ISBN 13 : 9780521848053
Total Pages : 1064 pages
Book Rating : 4.8/5 (48 download)
Download or read book Microeconometrics written by A. Colin Cameron and published by Cambridge University Press. This book was released on 2005-05-09 with total page 1064 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is oriented to the practitioner.
