J 2016

Behavior of R-estimators under measurement errors

JUREČKOVÁ, Jana, Hira L. KOUL, Radim NAVRÁTIL and Jan PICEK

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

Language

English

Type of outcome

Článek v odborném periodiku

Field of Study

10101 Pure mathematics

Country of publisher

Netherlands

Confidentiality degree

není předmětem státního či obchodního tajemství

Impact factor

Impact factor: 1.070

RIV identification code

RIV/00216224:14310/16:00089329

Organization unit

Faculty of Science

DOI

UT WoS

000370395200014

Keywords in English

contiguity; linear rank statistic; linear regression model; local asymptotic bias; measurement error; R-estimate

Tags

Změněno: 13/3/2018 11:46, RNDr. Radim Navrátil, Ph.D.

Abstract

V originále

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.