The Efficiency of Adjusted Least Squares in the Linear Functional Relationship

Kukush, Alexander and Maschke, Erich Otto (2000): The Efficiency of Adjusted Least Squares in the Linear Functional Relationship. Collaborative Research Center 386, Discussion Paper 208

Abstract

A linear functional errors-in-variables model with unknown slope parameter and Gaussian errors is considered. The measurement error variance is supposed to be known, while the variance of errors in the equation is unknown. In this model a risk bound of asymptotic minimax type for arbitrary estimators is established. The bound lies above that one which was found previously in the case of both variances known. The bound is attained by an adjusted least square estimator.

• Item Type: Paper
• Faculties: Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386; Special Research Fields > Special Research Field 386
• Subjects: 500 Science > 510 Mathematics
• Language: English