Generalized minimum distance estimators of a linear model with correlated errors |
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Authors: | J. M. Vilar Fernández W. González Manteiga |
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Affiliation: | 1. Faculty of Informatics, University of Coru?a, Campus de Elvi?a, 15071, Coru?a, Spain 2. Faculty of Mathematics, University of Santiago, 15706, Santiago, Spain
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Abstract: | Rp
of a linear regression model of the type Y = Xθ + ɛ, where X is the design matrix, Y the vector of the response variable and ɛ the random error vector that follows an AR(1) correlation structure. These estimators
are asymptotically analyzed, by proving their strong consistency, asymptotic normality and asymptotic efficiency. In a simulation
study, a better behaviour of the Mean Squared Error of the proposed estimator with respect to that of the generalized least
squares estimators is observed.
Received: November 16, 1998; revised version: May 10, 2000 |
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Keywords: | and Phrases: minimum distance estimators linear regression models nonparametric estimation AR(1) correlation
structure. |
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