Empirical transform estimation for indexed stochastic models

Yao, Q.W. and Morgan, B.J.T. (1999) Empirical transform estimation for indexed stochastic models. Journal of the Royal Statistical Society Series B-Statistical Methodology, 61 . pp. 127-141. ISSN 1369-7412. (The full text of this publication is not available from this repository)

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Official URL
http://dx.doi.org/10.1111/1467-9868.00167

Abstract

We present a method for estimating the parameters in indexed stochastic models via a least squares approach based on empirical transforms. Asymptotic approximations are derived for the distribution of the resulting estimators. An explicit expression for the mean-squared error provides a natural way of selecting the transform variable, and a numerical example illustrates the performance of the resulting method. A common finding, which we term 'diagonal optimization', occurs when multiparameter models are fitted by using transforms. Diagonal optimization arises when optimal performance results from equating the elements of the transform vector, and we provide a heuristic explanation of why this occurs.

Item Type: Article
Subjects: Q Science > QA Mathematics (inc Computing science) > QA273 Probabilities
Q Science > QA Mathematics (inc Computing science)
Divisions: Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science
Depositing User: F.D. Zabet
Date Deposited: 14 Mar 2009 18:01
Last Modified: 26 May 2009 11:53
Resource URI: http://kar.kent.ac.uk/id/eprint/16769 (The current URI for this page, for reference purposes)
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