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

Аннотация: 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.

Ключевые слова: Errors-in-variables models, corrected score, quasi score.

MSC: 62J10, 62J02, 62J12, 62F12

Язык публикации: английский

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