English

Behavior of R-estimators under measurement errors

Statistics Theory 2016-02-08 v2 Methodology Statistics Theory

Abstract

As was shown recently, the measurement errors in regressors affect only the power of the rank test, but not its critical region. Noting that, we study the effect of measurement errors on R-estimators in linear model. It is demonstrated that while an R-estimator admits a local asymptotic bias, its bias surprisingly depends only on the precision of measurements and does neither depend on the chosen rank test score-generating function nor on the regression model error distribution. The R-estimators are numerically illustrated and compared with the LSE and L1L_1 estimators in this situation.

Keywords

Cite

@article{arxiv.1411.3609,
  title  = {Behavior of R-estimators under measurement errors},
  author = {Jana Jurečková and Hira L. Koul and Radim Navrátil and Jan Picek},
  journal= {arXiv preprint arXiv:1411.3609},
  year   = {2016}
}

Comments

Published at http://dx.doi.org/10.3150/14-BEJ687 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

R2 v1 2026-06-22T06:57:55.763Z