Improved maximum likelihood estimators in a heteroskedastic errors-in-variables model |
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Authors: | Alexandre G Patriota Artur J Lemonte Heleno Bolfarine |
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Institution: | 1.Departamento de Estatística,Universidade de S?o Paulo,S?o Paulo,Brazil |
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Abstract: | This paper develops a bias correction scheme for a multivariate heteroskedastic errors-in-variables model. The applicability
of this model is justified in areas such as astrophysics, epidemiology and analytical chemistry, where the variables are subject
to measurement errors and the variances vary with the observations. We conduct Monte Carlo simulations to investigate the
performance of the corrected estimators. The numerical results show that the bias correction scheme yields nearly unbiased
estimates. We also give an application to a real data set. |
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