R-estimation of the parameters of a multiple regression model with measurement errors

Abstrakt

We consider the theory of R-estimation of the regression parameters of a multiple regression models with measurement errors. Using the standard linear rank statistics, R-estimators are defined and their asymptotic properties are studied as robust alternatives to the least squares estimator.

This paper fills the gap of the rank theory for the estimation of regression parameters with measurement error models. Some simulation results are presented to show the effectiveness of the R-estimators.

Klíčová slova

• R-estimator
• Measurement error
• Asymptotic relative efficiency