首页 | 本学科首页   官方微博 | 高级检索  
     


On the asymptotic properties of parameter estimates in a regression model with non-normally distributed errors
Authors:John L. Maryak
Affiliation:Applied Physics Laboratory , The Johns Hopkins University , Laurel, 20707, Maryland
Abstract:As pointed out in a recent paper by Amirkhalkhali and Rao (1986) (henceforth referred to as A&R), the usual assumption of normality for the error terms of a regression model isoften untenable. However, when this assumption is dropped, it may be difficult to characterize parameter estimates for the model. For example, A&R (p. 189) state that “if the regression errors are non-normal, we are not even sure of their [e.g., the generalized least squares parameter estimates1] asymptotic properties.” A partial answer, however, is given by Spall and Wall (1984), which presents an asymptotic distribution theory for Kalman filter estimates for cases where the random terms of the state space model are not necessarily Gaussian. Certain of these asymptotic distribution results are also discussed in Spall (1985) in the context of model validation (diagnostic checking)
Keywords:Random coefficient regression  State space model  non-Gaussian  Kalman filter
相似文献(共20条):
[1]、Heteroscedastic regression models with non-normally distributed errors[J].Journal of Statistical Computation and Simulation
[2]、Toni Stocker.On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors[J].Statistical Papers,2007,48(1):81-93.
[3]、On the simple linear regression model with correlated measurement errors[J].Journal of statistical planning and inference
[4]、On asymptotic properties of the parameter estimator for a type of SPDE[J].Journal of statistical planning and inference
[5]、Yasushi Nagata.Stein type confidence interval of the disturbance variance in a linear regression model with multivariate student-t distributed errors[J].统计学通讯:理论与方法,2013,42(2):503-523.
[6]、Oscar Palmeros,Elizabeth González.On computing estimates of a change-point in the Weibull regression hazard model[J].Journal of applied statistics,2018,45(4):642-648.
[7]、Diego Salazar,Lyle Broemeling,Albert Chi.Parameter changes in a regression model with autocorrelated errors[J].统计学通讯:理论与方法,2013,42(17):1751-1758.
[8]、F. T. Wright.The asymptotic behavior of monotone percentile regression estimates[J].Revue canadienne de statistique,1984,12(3):229-236.
[9]、Adichie J. N.A note on asymptotic linearity of a bank statistic in regression parameter[J].统计学通讯:理论与方法,2013,42(2):171-181.
[10]、Soh CH,Harrington DP,Zaslavsky AM.Reducing bias in parameter estimates from stepwise regression in proportional hazards regression with right-censored data[J].Lifetime data analysis,2008,14(1):65-85.
[11]、Shih-Huang Chan.On the calculations of the maximum likelihood estimates for the polynomial spline regression model with unknown knots and AR(1) errors[J].统计学通讯:理论与方法,2013,42(4):1199-1209.
[12]、Vicente G. Cancho,Víctor H. Lachos,Edwin M. M. Ortega.A nonlinear regression model with skew-normal errors[J].Statistical Papers,2010,51(3):547-558.
[13]、G.R. Dargahi-Noubary.A method for parameter estimation of non-linear regression with autocorrelated errors[J].统计学通讯:理论与方法,2013,42(8):2907-2923.
[14]、Alain Boulanger.Uniform asymptotic linearity in a regression parameter of a process based on a rank statistic[J].Revue canadienne de statistique,1983,11(4):265-269.
[15]、Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors[J].Journal of the Korean Statistical Society
[16]、Wlodzimierz Greblicki,Adam Krzyzak.Asymptotic properties of kernel estimates of a regression function[J].Journal of statistical planning and inference,1980,4(1):81-90.
[17]、Sallieu Kabay Samura,Yi Wu.Consistency properties for the estimators of partially linear regression model under dependent errors[J].Journal of Statistical Computation and Simulation,2019,89(13):2410-2433.
[18]、Ronald H. Ketellapper.On estimating the regression parameter in the simple errors-in-variables model without constant term[J].统计学通讯:理论与方法,2013,42(10):1147-1153.
[19]、Alexander Kukush,Hans Schneeweis,Roland Wolf.Three estimators for the poisson regression model with measurement errors[J].Statistical Papers,2004,45(3):351-368.
[20]、Kiyoshi Inoue.Iterative weighted least-squares estimates in a heteroscedastic linear regression model[J].Journal of statistical planning and inference,2003,110(1-2):133-146.
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号