Yao, Qiwei,
Morgan, Byron 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.
(doi:10.1111/1467-9868.00167)
(The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)
(KAR id:16769)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |

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 |
---|---|

DOI/Identification number: | 10.1111/1467-9868.00167 |

Subjects: |
Q Science > QA Mathematics (inc Computing science) > QA273 Probabilities Q Science > QA Mathematics (inc Computing science) |

Divisions: | Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science |

Depositing User: | F.D. Zabet |

Date Deposited: | 14 Mar 2009 18:01 UTC |

Last Modified: | 16 Nov 2021 09:54 UTC |

Resource URI: | https://kar.kent.ac.uk/id/eprint/16769 (The current URI for this page, for reference purposes) |

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