Asymptotics for weakly dependent errors-in-variables

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10159164" target="_blank" >RIV/00216208:11320/13:10159164 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Asymptotics for weakly dependent errors-in-variables
Original language description
Linear relations, containing measurement errors in input and output data, are taken into account in this paper. Parameters of these so-called errors-in-variables (EIV) models can be estimated by minimizing the total least squares (TLS) of the input-output disturbances. Such an estimate is highly non-linear. Moreover in some realistic situations, the errors cannot be considered as independent by nature. Weakly dependent ($alpha$- and $varphi$-mixing) disturbances, which are not necessarily stationary nor identically distributed, are considered in the EIV model. Asymptotic normality of the TLS estimate is proved under some reasonable stochastic assumptions on the errors. Derived asymptotic properties provide necessary basis for the validity of block-bootstrap procedures.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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