Asymptotic optimality of the quasi-score estimator in a class of linear score estimators

Kukush, Alexander and Schneeweiß, Hans (2006): Asymptotic optimality of the quasi-score estimator in a class of linear score estimators. Collaborative Research Center 386, Discussion Paper 477

Abstract

We prove that the quasi-score estimator in a mean-variance model is optimal in the class of (unbiased) linear score estimators, in the sense that the difference of the asymptotic covariance matrices of the linear score and quasi-score estimator is positive semi-definite. We also give conditions under which this difference is zero or under which it is positive definite. This result can be applied to measurement error models where it implies that the quasi-score estimator is asymptotically more efficient than the corrected score estimator.

• Item Type: Paper (Research Paper)
• Collections: Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386; Special Research Fields > Special Research Field 386
• Subjects: 500 Science > 510 Mathematics