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JOURNALS // Theory of Stochastic Processes // Archive

Theory Stoch. Process., 2007 Volume 13(29), Issue 1, Pages 57–65 (Mi thsp184)

Simex estimator for polynomial errors-in-variables model

Olena Gontar, Andrii Malenko

Department of Probability Theory and Mathematical Statistics, Kyiv National Taras Shevchenko University, Kyiv, Ukraine

Abstract: For polynomial errors-in-variables model, the Simex estimator is constructed in such way that it is consistent, as the samples size grows and the size of auxiliary sample is fixed. Then the estimator is modified in such a way that it shows good results for small samples without losing its asymptotic properties for large samples. Simulation studies corroborate the theoretical findings.

Keywords: Simex estimator, errors-in-variables models, Hermite polynomials.

MSC: 62J02, 62F12, 62-07

Language: English



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