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On a Consistent Rank Estimate in a Linear Structural Model
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
2012 (English)In: PROBASTAT '11: Proceedings of the Sixth International Conference on Probability and Statistics: Dedicated to Professor Lubomir Kubacek in Recognition of His Eightieth Birthday, 2012, 191-202 p.Conference paper, Published paper (Refereed)
Abstract [en]

The structural linear model is considered that is an errors-in-variables model where the unobserved variables are i.i.d. In this model we can find linear transformations depending on the parameter, such that the transformed observations using the true parameter are uncorrelated. Then a parameter estimator is defined as a zero point of a consistent correlation estimator. A rank estimation is proposed as a zero point of Kendall's correlation measure and its consistency is shown. While the Pearson estimate of the covariance delivers the total least squares estimate.

Place, publisher, year, edition, pages
2012. 191-202 p.
Series
Tatra Mountains Mathematical Publications, ISSN 1210-3195 ; 51
Keyword [en]
rank estimate, structural linear model, Kendall's tau, total least squares, Theil-Sen, estimate
National Category
Natural Sciences
Identifiers
URN: urn:nbn:se:uu:diva-196152DOI: 10.2478/v10127-012-0019-7ISI: 000314254900019OAI: oai:DiVA.org:uu-196152DiVA: diva2:609283
Conference
6th International Conference on Probability and Statistics (PROBASTAT 2011), JUL 04-08, 2011, Smolenice, SLOVAKIA
Available from: 2013-03-05 Created: 2013-03-05 Last updated: 2013-03-05Bibliographically approved

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Zwanzig, Silvelyn

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