JUREČKOVÁ, Jana, Hira L. KOUL, Radim NAVRÁTIL and Jan PICEK. Behavior of R-estimators under measurement errors. Bernoulli. 2016, vol. 22, No 2, p. 1093-1112. ISSN 1350-7265. Available from: https://dx.doi.org/10.3150/14-BEJ687.
Other formats:   BibTeX LaTeX RIS
Basic information
Original name Behavior of R-estimators under measurement errors
Authors JUREČKOVÁ, Jana (203 Czech Republic), Hira L. KOUL (840 United States of America), Radim NAVRÁTIL (203 Czech Republic, guarantor, belonging to the institution) and Jan PICEK (203 Czech Republic).
Edition Bernoulli, 2016, 1350-7265.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 10101 Pure mathematics
Country of publisher Netherlands
Confidentiality degree is not subject to a state or trade secret
Impact factor Impact factor: 1.070
RIV identification code RIV/00216224:14310/16:00089329
Organization unit Faculty of Science
Doi http://dx.doi.org/10.3150/14-BEJ687
UT WoS 000370395200014
Keywords in English contiguity; linear rank statistic; linear regression model; local asymptotic bias; measurement error; R-estimate
Tags AKR, rivok
Changed by Changed by: RNDr. Radim Navrátil, Ph.D., učo 235559. Changed: 13/3/2018 11:46.
Abstract
As was shown recently, the measurement errors in regressors affect only the power of the rank test, but not its critical region. Noting that, we study the effect of measurement errors on R-estimators in linear model. It is demonstrated that while an R-estimator admits a local asymptotic bias, its bias surprisingly depends only on the precision of measurements and does neither depend on the chosen rank test score-generating function nor on the regression model error distribution. The R-estimators are numerically illustrated and compared with the LSE and L1 estimators in this situation.
PrintDisplayed: 25/4/2024 14:13