Asymptotic Properties of Nonlinear Least Squares Estimators in a Replicated Time Series Model PDF Download
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Author: Jeremy Sin-hing Wu
Publisher:
ISBN:
Category :
Languages : en
Pages : 246
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Author: Jeremy Sin-hing Wu
Publisher:
ISBN:
Category :
Languages : en
Pages : 246
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Author: Subir Ghosh
Publisher: CRC Press
ISBN: 9780824700515
Category : Mathematics
Languages : en
Pages : 864
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"Contains over 2500 equations and exhaustively covers not only nonparametrics but also parametric, semiparametric, frequentist, Bayesian, bootstrap, adaptive, univariate, and multivariate statistical methods, as well as practical uses of Markov chain models."
Author: Stanford University. Department of Statistics
Publisher:
ISBN:
Category :
Languages : en
Pages : 12
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Author: Rajae Azral
Publisher:
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Category :
Languages : en
Pages :
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Author:
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Category : Weights and measures
Languages : en
Pages : 574
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Author: Vanniarachchige Amarasiri Samaranayake
Publisher:
ISBN:
Category : Autocorrelation (Statistics)
Languages : en
Pages : 200
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Author: Sastry G. Pantula
Publisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 42
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Author: Raymond J. Carroll
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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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: Enrico Gori
Publisher:
ISBN:
Category :
Languages : en
Pages : 9
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Author: Sung-Eun Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 242
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