Name
Title | ||
|---|---|---|
Estimation in a linear multivariate measurement error model with a change point in the data |
Abstract | ||
|---|---|---|
A linear multivariate measurement error model AX=B is considered. The errors in [AB] are row-wise finite dependent, and within each row, the errors may be correlated. Some of the columns may be observed without errors, and in addition the error covariance matrix may differ from row to row. The columns of the error matrix are united into two uncorrelated blocks, and in each block, the total covariance structure is supposed to be known up to a corresponding scalar factor. Moreover the row data are clustered into two groups, according to the behavior of the rows of true A matrix. The change point is unknown and estimated in the paper. After that, based on the method of corrected objective function, strongly consistent estimators of the scalar factors and X are constructed, as the numbers of rows in the clusters tend to infinity. Since Toeplitz/Hankel structure is allowed, the results are applicable to system identification, with a change point in the input data. |
Year | DOI | Venue |
|---|---|---|
2007 | 10.1016/j.csda.2007.06.010 | Computational Statistics & Data Analysis |
Keywords | Field | DocType |
row data,input data,error matrix,total covariance structure,dynamic errors-in-variables model,corrected objective function,linear multivariate measurement error,change point,consistent estimator.,hankel structure,error covariance matrix,linear errors-in-variables model,scalar factor,corresponding scalar factor,clustering,system identification,measurement error model,covariance matrix,objective function,consistent estimator | Econometrics,Row,Errors-in-variables models,Matrix (mathematics),Row equivalence,Augmented matrix,Toeplitz matrix,Covariance matrix,Statistics,Mathematics,Covariance | Journal |
Volume | Issue | ISSN |
52 | 2 | Computational Statistics and Data Analysis |
Citations | PageRank | References |
1 | 0.37 | 5 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| A. Kukush | 1 | 60 | 8.24 |
| Ivan Markovsky | 2 | 61 | 7.81 |
| S. Van Huffel | 3 | 260 | 32.75 |