Improved maximum likelihood estimators in a heteroskedastic errors-in-variables model
نویسندگان
چکیده
منابع مشابه
Improved maximum likelihood estimators in a heteroskedastic errors-in-variables model
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 co...
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The linear heteroskedastic regression model, for which the variance of the response is given by a suitable function of a set of linear exogenous variables, is very useful in econometric applications. We derive a simple matrix formula for the n biases of the maximum likelihood estimators of the parameters in the variance of the response, where n is the sample size. These biases are easily obtain...
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ژورنال
عنوان ژورنال: Statistical Papers
سال: 2009
ISSN: 0932-5026,1613-9798
DOI: 10.1007/s00362-009-0243-7