Consistency of least squares estimates in a system of linear correlation models

Nguyen Bac-Van

  • 2001

Abstract

top
We consider a system of linear response models with random explanatory variables in which the global matrix parameter is subject to arbitrary constraints. A generalized least squares estimate (GLSE) of the global parameter is defined by its property of minimizing some norm of the global residual over an affine manifold, called the support, containing the global parameter range. The crucial relation is the one between the true global parameter value and the so-called global mean square (msq) regression parameter value defined by the notion of msq regression following Cramér (1945). We prove that as soon as the support manifold is given, it is contained in another affine manifold, called the region of convergence, so that as the global sample size tends to infinity the GLSE converges or diverges a.s. according as the global msq regression parameter value belongs to this region or not; the a.s. limit of the GLSE is just the orthogonal projection of the global msq regression parameter value on the support manifold. The proof is based on the large sample a.s. uniform boundedness of a random linear operator which appears in the expression of the GLSE error. The uniformity of the convergence and of the consistency when the support manifold varies is also established.

How to cite

top

Nguyen Bac-Van. Consistency of least squares estimates in a system of linear correlation models. 2001. <http://eudml.org/doc/286003>.

@book{NguyenBac2001,
abstract = {We consider a system of linear response models with random explanatory variables in which the global matrix parameter is subject to arbitrary constraints. A generalized least squares estimate (GLSE) of the global parameter is defined by its property of minimizing some norm of the global residual over an affine manifold, called the support, containing the global parameter range. The crucial relation is the one between the true global parameter value and the so-called global mean square (msq) regression parameter value defined by the notion of msq regression following Cramér (1945). We prove that as soon as the support manifold is given, it is contained in another affine manifold, called the region of convergence, so that as the global sample size tends to infinity the GLSE converges or diverges a.s. according as the global msq regression parameter value belongs to this region or not; the a.s. limit of the GLSE is just the orthogonal projection of the global msq regression parameter value on the support manifold. The proof is based on the large sample a.s. uniform boundedness of a random linear operator which appears in the expression of the GLSE error. The uniformity of the convergence and of the consistency when the support manifold varies is also established.},
author = {Nguyen Bac-Van},
keywords = {support manifold; region of convergence; global mean square (msq) regression parameter value; orthogonal projection; random linear operator; uniform boundedness},
language = {eng},
title = {Consistency of least squares estimates in a system of linear correlation models},
url = {http://eudml.org/doc/286003},
year = {2001},
}

TY - BOOK
AU - Nguyen Bac-Van
TI - Consistency of least squares estimates in a system of linear correlation models
PY - 2001
AB - We consider a system of linear response models with random explanatory variables in which the global matrix parameter is subject to arbitrary constraints. A generalized least squares estimate (GLSE) of the global parameter is defined by its property of minimizing some norm of the global residual over an affine manifold, called the support, containing the global parameter range. The crucial relation is the one between the true global parameter value and the so-called global mean square (msq) regression parameter value defined by the notion of msq regression following Cramér (1945). We prove that as soon as the support manifold is given, it is contained in another affine manifold, called the region of convergence, so that as the global sample size tends to infinity the GLSE converges or diverges a.s. according as the global msq regression parameter value belongs to this region or not; the a.s. limit of the GLSE is just the orthogonal projection of the global msq regression parameter value on the support manifold. The proof is based on the large sample a.s. uniform boundedness of a random linear operator which appears in the expression of the GLSE error. The uniformity of the convergence and of the consistency when the support manifold varies is also established.
LA - eng
KW - support manifold; region of convergence; global mean square (msq) regression parameter value; orthogonal projection; random linear operator; uniform boundedness
UR - http://eudml.org/doc/286003
ER -

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.