Semi-Parametric Estimation in the Nonlinear Structural Errors-in-Variables Model - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Annals of Statistics Année : 2001

Semi-Parametric Estimation in the Nonlinear Structural Errors-in-Variables Model

Résumé

In the nonlinear structural errors-in-variables model, we propose a consistent estimator of the unknown parameter using a modified least squares criterion. We give an upper bound of its rate of convergence which is strongly related to the regularity of the regression function and is generally slower than the parametric rate of convergence n-1/2. Nevertheless, the rate is of order n-1/2 for some particular analytic regression functions. For instance, when the regression function is either a polynomial function or an exponential function, we prove that our estimator achieves the parametric rate of convergence.

Dates et versions

hal-04432422 , version 1 (01-02-2024)

Identifiants

Citer

Marie-Luce Taupin. Semi-Parametric Estimation in the Nonlinear Structural Errors-in-Variables Model. Annals of Statistics, 2001, 29 (1), ⟨10.1214/aos/996986502⟩. ⟨hal-04432422⟩
10 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More