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Theory of Stochastic Processes, 2007, Volume 13(29), Issue 1, Pages 122–131 (Mi thsp191)  

Efficiency comparison of two consistent estimators in nonlinear regression model with small measurement errors

Andrii Malenko

Department of Probability Theory and Mathematical Statistics, Kyiv National Taras Shevchenko University, Kyiv, Ukraine
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Abstract: We study a nonlinear measurement model where the response variable has a density belonging to the exponential family. We consider two consistent estimators: Corrected Score (CS) and Quasi Score (QS) ones. Their relative e?ciency is compared with respect to asymptotic covariance matrices. We derive expansions of these matrices for small error variances. It is shown that the QS estimator is more e?cient than the CS one. The polynomial and Poisson regression models are studied in more detail.
Keywords: Errors-in-variables models, corrected score, quasi score.
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Document Type: Article
Language: English
Citation: Andrii Malenko, “Efficiency comparison of two consistent estimators in nonlinear regression model with small measurement errors”, Theory Stoch. Process., 13(29):1 (2007), 122–131
Citation in format AMSBIB
\Bibitem{Mal07}
\by Andrii~Malenko
\paper Efficiency comparison of two
consistent estimators in nonlinear
regression model with small
measurement errors
\jour Theory Stoch. Process.
\yr 2007
\vol 13(29)
\issue 1
\pages 122--131
\mathnet{http://mi.mathnet.ru/thsp191}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=2343817}
\zmath{https://zbmath.org/?q=an:1153.62015}
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  • https://www.mathnet.ru/eng/thsp/v13/i1/p122
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