Ultrastructural elliptical models
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Date
1996
Journal Title
Journal ISSN
Volume Title
Publisher
CANADIAN JOURNAL STATISTICS
Abstract
Dolby's (1976) ultrastructural model with no replications is investigated within the class of the elliptical distributions. General asymptotic results are given for the sample covariance matrix S in the presence of incidental parameters. These results are used to study the asymptotic behaviour of some estimators of the slope parameter, unifying and extending existing results in the literature. In particular, under some regularity conditions they are shown to be consistent and asymptotically normal. For the special case of the structural model, some asymptotic relative efficiencies are also reported which show that generalized least squares and the method of moment estimators can be highly inefficient under nonnormality.
Description
Keywords
asymptotic distribution, asymptotic relative efficiency, elliptical distribution, GLS, moment and maximum-likelihood estimators (MLE), kurtosis parameter, ultrastructural, structural and functional model, t-distribution, INFERENCE, ERRORS