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Linear regression with Laplace measurement error

Master of Science / Statistics / Weixing Song / In this report, an improved estimation procedure for the regression parameter in simple linear regression models with the Laplace measurement error is proposed. The estimation procedure is made feasible by a Tweedie type equality established for E(X|Z), where Z = X + U, X and U are independent, and U follows a Laplace distribution. When the density function of X is unknown, a kernel estimator for E(X|Z) is constructed in the estimation procedure. A leave-one-out cross validation bandwidth selection method is designed. The finite sample performance of the proposed estimation procedure is evaluated by simulation studies. Comparison study is also conducted to show the superiority of the proposed estimation procedure over some existing estimation methods.

Identiferoai:union.ndltd.org:KSU/oai:krex.k-state.edu:2097/32719
Date January 1900
CreatorsCao, Chendi
PublisherKansas State University
Source SetsK-State Research Exchange
Languageen_US
Detected LanguageEnglish
TypeReport

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