A linear regression model, where covariates and a response are subject to errors, is considered in this thesis. For so-called errors-in-variables (EIV) model, suitable error structures are proposed, various unknown parameter estimation techniques are performed, and recent algebraic and statistical results are summarized. An extension of the total least squares (TLS) estimate in the EIV model-the EIV estimate-is invented. Its invariant (with respect to scale) and equivariant (with respect to the covariates' rotation, to the change of covariates direction, and to the interchange of covariates) properties are derived. Moreover, it is shown that the EIV estimate coincides with any unitarily invariant penalizing solution to the EIV problem. It is demonstrated that the asymptotic normality of the EIV estimate is computationally useless for a construction of confidence intervals or hypothesis testing. A proper bootstrap procedure is constructed to overcome such an issue. The validity of the bootstrap technique is proved. A simulation study and a real data example assure of its appropriateness. Strong and uniformly strong mixing errors are taken into account instead of the independent ones. For such a case, the strong consistency and the asymptotic normality of the EIV estimate are shown. Despite of that, their...
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:300387 |
| Date | January 2010 |
| Creators | Pešta, Michal |
| Contributors | Antoch, Jaromír, Lachout, Petr, Zwanzig, Silvelyn |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/doctoralThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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