Optimality of Quasi-Score in the multivariate mean-variance model with an application to the zero-inflated Poisson model with measurement errors

Kukush, Alexander; Malenko, Andrii; Schneeweiß, Hans and Shalabh (2006): Optimality of Quasi-Score in the multivariate mean-variance model with an application to the zero-inflated Poisson model with measurement errors. Collaborative Research Center 386, Discussion Paper 498

Abstract

In a multivariate mean-variance model, the class of linear score (LS) estimators based on an unbiased linear estimating function is introduced. A special member of this class is the (extended) quasi-score (QS) estimator. It is ``extended'' in the sense that it comprises the parameters describing the distribution of the regressor variables. It is shown that QS is (asymptotically) most efficient within the class of LS estimators. An application is the multivariate measurement error model, where the parameters describing the regressor distribution are nuisance parameters. A special case is the zero-inflated Poisson model with measurement errors, which can be treated within this framework.

• Item Type: Paper
• Keywords: Multivariate mean-variance model, measurement errors, zero-inflated Poisson model, nuisance parameters, quasi-score, linear score, corrected score, asymptotic effciency
• 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