Relative Efficiency of Maximum Likelihood and Other Estimators in a Nonlinear Regression Model with Small Measurement Errors

Kukush, Alexander and Schneeweiß, Hans (2004): Relative Efficiency of Maximum Likelihood and Other Estimators in a Nonlinear Regression Model with Small Measurement Errors. Collaborative Research Center 386, Discussion Paper 396

Abstract

We compare the asymptotic covariance matrix of the ML estimator in a nonlinear measurement error model to the asymptotic covariance matrices of the CS and SQS estimators studied in Kukush et al (2002). For small measurement error variances they are equal up to the order of the measurement error variance and thus nearly equally efficient.

• Item Type: Paper (Research Paper)
• Keywords: Measurement Errors, Maximum Likelihood, Efficiency, Small Error Variance
• Collections: Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386; Special Research Fields > Special Research Field 386
• Subjects: 500 Science > 510 Mathematics