✦ LIBER ✦

Measurement Error Models with Nonconstant Covariance Matrices

✍ Scribed by Reinaldo B. Arellano-Valle; Heleno Bolfarine; Loreta Gasco

Publisher: Elsevier Science
Year: 2002
Tongue: English
Weight: 165 KB
Volume: 82
Category: Article
ISSN: 0047-259X
DOI: 10.1006/jmva.2001.2024

No coin nor oath required. For personal study only.

✦ Synopsis

In this paper we consider measurement error models when the observed random vectors are independent and have mean vector and covariance matrix changing with each observation. The asymptotic behavior of the sample mean vector and the sample covariance matrix are studied for such models. Using the derived results, we study the case of the elliptical multiplicative error-in-variables models, providing formal justification for the asymptotic distribution of consistent slope parameter estimators. The model considered extends a normal model previously considered in the literature. Asymptotic relative efficiencies comparing several estimators are also reported.

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