Best Median-Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions

DOI10.2307/2288801zbMath0643.62048OpenAlexW3123066784MaRDI QIDQ3785795

Peter C. B. Phillips, Donald W. K. Andrews

Publication date: 1987

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d07/d0786.pdf

zbMATH Keywords

variance estimationgeneralized least squares estimatorrestricted parameter spacenonlinear constraintelliptically symmetric distributionsminimum riskMedian unbiased estimatorsbest unbiased estimator of the error variancebounded asymmetric loss functionsmonotone loss function

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) General nonlinear regression (62J02)

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EFFICIENCY OF LINEAR ESTIMATORS UNDER HEAVY-TAILEDNESS: CONVOLUTIONS OF [alpha-SYMMETRIC DISTRIBUTIONS] ⋮ Symmetry-based inference in an instrumental variable setting ⋮ Optimal changepoint tests for normal linear regression ⋮ A maximal extension of the Gauss-Markov theorem and its nonlinear version.

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