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ЖУРНАЛЫ // Theory of Stochastic Processes // Архив

Theory Stoch. Process., 2007, том 13(29), выпуск 1, страницы 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

Аннотация: 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.

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

MSC: 62J02, 62F12, 62-07

Язык публикации: английский



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