Estimation and Testing in Elliptical Functional Measurement Error Models |
| |
Authors: | Manuel Galea Patricia Giménez |
| |
Affiliation: | 1. Departamento de Estadística , Pontificia Universidad Católica de Chile and Laboratorio de Análisis Estocástico , Santiago, Chile mgalea@puc.cl;3. Departamento de Matemática , Universidad Nacional de Mar del Plata , Argentina |
| |
Abstract: | The purpose of this article is to investigate estimation and hypothesis testing by maximum likelihood and method of moments in functional models within the class of elliptical symmetric distributions. The main results encompass consistency and asymptotic normality of the method of moments estimators. Also, the asymptotic covariance matrix of the maximum likelihood estimator is derived, extending some existing results in elliptical distributions. A measure of asymptotic relative efficiency is reported. Wald-type statistics are considered and numerical results obtained by Monte Carlo simulation to investigate the performance of estimators and tests are provided for Student-t and contaminated normal distributions. An application to a real dataset is also included. |
| |
Keywords: | Asymptotic relative efficiency Comparative calibration Elliptical distributions Maximum likelihood estimators Moment estimators Wald statistics |
|