CALCULATION METHOD FOR NONLINEAR DYNAMIC LEAST-ABSOLUTE DEVIATIONS ESTIMATOR
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説明
In a nonlinear dynamic model, the consistency and asymptotic normality of the Nonlinear Least-Absolute Deviations (NLAD) estimator were proved by Weiss (1991), even though they are difficult to compute in practice. Overcoming this difficulty will be critical if the NLAD estimator is to become practical. We propose an approximated NLAD estimator with the same asymptotic properties as the original with the exception that ours is easier to use.
収録刊行物
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- ＪＯＵＲＮＡＬ ＯＦ ＴＨＥ ＪＡＰＡＮ ＳＴＡＴＩＳＴＩＣＡＬ ＳＯＣＩＥＴＹ
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ＪＯＵＲＮＡＬ ＯＦ ＴＨＥ ＪＡＰＡＮ ＳＴＡＴＩＳＴＩＣＡＬ ＳＯＣＩＥＴＹ 31 (1), 39-51, 2001
日本統計学会
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詳細情報 詳細情報について
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- CRID
- 1390282680264366080
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- NII論文ID
- 130003428587
- 110003151320
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- NII書誌ID
- AA1105098X
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- ISSN
- 03895602
- 13486365
- 18822754
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- NDL書誌ID
- 5875864
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- 本文言語コード
- en
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- 資料種別
- journal article
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- データソース種別
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- CiNii Articles
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