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2000 | 20 | 2 | 177-188
Tytuł artykułu

Likelihood and parametric heteroscedasticity in normal connected linear models

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
A linear model in which the mean vector and covariance matrix depend on the same parameters is connected. Limit results for these models are presented. The characteristic function of the gradient of the score is obtained for normal connected models, thus, enabling the study of maximum likelihood estimators. A special case with diagonal covariance matrix is studied.
Rocznik
Tom
20
Numer
2
Strony
177-188
Opis fizyczny
Daty
wydano
2000
poprawiono
1999-04-19
otrzymano
2000-03-15
Twórcy
  • Universidade Nova de Lisboa, Departamento de Matemática da Faculdade de Ciencias e Tecnologia, Quinta da Torre, 2825 Monte de Caparica
  • Universidade Nova de Lisboa, Departamento de Matemática da Faculdade de Ciencias e Tecnologia, Quinta da Torre, 2825 Monte de Caparica
Bibliografia
  • [1] T. Amemiya, Advanced Econometrics, Harvard University Press, Harvard 1985.
  • [2] E.R. Berndt B.H. Hall and J.A. Hausman, Estimation and Inferencein Nonlinear Structural Models, Annals of Economic and Social Measurement 3 (1974), 653-666.
  • [3] W.C. Davidson, Variable Metric Methods for Minimization, Atomic Energy Commision, Research Development Report ANL-5990, Washington, D.C. 1959.
  • [4] S.M. Goldfeld, R.E. Quandt and H.F. Trotter, Maximization by Quadratic Hill-Climbing, Econometrica 34 (1966), 541-551.
  • [5] S.M. Goldfeld and R.E. Quandt, Nonlinear Methods in Econometrics,North-Holland Publishing, Amsterdam 1972.
  • [6] R.I. Jennrich, Asymptotic Properties of Non-Linear Least-Squares Estimators, The Annals of Mathematical Statistics 40 (1969), 633-643.
  • [7] J.D. Jobson and W.A. Fuller, Least Squares Estimation When the Covariance Matrix and Parameter Vector Are Functionally Related, Journal of the American Statistical Association 75 (1980), 176-181.
  • [8] J.L. Kelley, General Topology, Princeton, New Jersey 1961.
  • [9] J.T. Mexia, Linear Models with Partially Controlled Heteroscedasticity, Trabalhos de Investigaçao 2. Departamento de Matemática - Faculdade de Ciencias e Tecnologia/Universidade Nova de Lisboa 1993.
  • [10] R.L. Plackett, Principles of Regression Analysis, Oxford University Press, Oxford 1960.
  • [11] S.J. Prais and H.S. Houthakker, The Analysis of Family Budgets, Cambridge University Press, Cambridge 1955.
  • [12] C.R. Rao, Linear Statistical Inference and Its Applications (Second Edition), John Wiley & Sons 1973.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1010
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