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Ultrastructural elliptical models
Author(s) -
ArellanoValle R.B.,
Bolfarine H.,
VilcaLabra F.
Publication year - 1996
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315626
Subject(s) - estimator , mathematics , class (philosophy) , moment (physics) , least squares function approximation , asymptotic distribution , covariance matrix , matrix (chemical analysis) , sample (material) , statistics , computer science , physics , classical mechanics , materials science , artificial intelligence , composite material , thermodynamics
Dolby's (1976) ultrastructural model with no replications is investigated within the class of the elliptical distributions. General asymptotic results are given for the sample covariance matrix S in the presence of incidental parameters. These results are used to study the asymptotic behaviour of some estimators of the slope parameter, unifying and extending existing results in the literature. In particular, under some regularity conditions they are shown to be consistent and asymptotically normal. For the special case of the structural model, some asymptotic relative efficiencies are also reported which show that generalized least squares and the method of moment estimators can be highly inefficient under nonnormality.