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Approximate inference in multivariate nonlinear functional relationships

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  • H.N. Linssen
  • L.T.M.E. Hillegers

Abstract

An estimation procedure based on estimating equations is presented for the parameters in a multivariate functional relationship model, where all observations are subject to error. The covariance matrix of the observational errors may be parametrized and is allowed to be different for different sets of observations. Estimators are defined for the unknown relation parameters and error parameters. For linear models (i.e. where the model function is linear in the incidental parameters) the estimators are consistent and asymptotically normal. A consistent expression for the covariance matrix of the estimators is derived. The results are valid for general error distributions. For nonlinear models the estimators are based on locally linear approximations to the model function. The afore mentioned properties of the estimators are now only approximately valid. The adequacy of the approximate inference, based on asymptotic theory for the linearized model, needs at least informal check. Some examples are given to illustrate the estimation procedure.

Suggested Citation

  • H.N. Linssen & L.T.M.E. Hillegers, 1989. "Approximate inference in multivariate nonlinear functional relationships," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 43(3), pages 141-156, September.
    • Handle: RePEc:bla:stanee:v:43:y:1989:i:3:p:141-156
    DOI: 10.1111/j.1467-9574.1989.tb01255.x
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