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- Title
Mean-Based Iterative Procedures in Linear Models with General Errors and Grouped Data.
- Authors
Rivero, Carlos; Valdés, Teófilo
- Abstract
We present in this paper iterative estimation procedures, using conditional expectations, to fit linear models when the distributions of the errors are general and the dependent data stem from a finite number of sources, either grouped or non-grouped with different classification criteria. We propose an initial procedure that is inspired by the expectation-maximization (EM) algorithm, although it does not agree with it. The proposed procedure avoids the nested iteration, which implicitly appears in the initial procedure and also in the EM algorithm. The stochastic asymptotic properties of the corresponding estimators are analysed.
- Subjects
ITERATIVE methods (Mathematics); LINEAR statistical models; ALGORITHMS; ASYMPTOTIC distribution; DISTRIBUTION (Probability theory); ESTIMATION theory
- Publication
Scandinavian Journal of Statistics, 2004, Vol 31, Issue 3, p469
- ISSN
0303-6898
- Publication type
Article
- DOI
10.1111/j.1467-9469.2004.01_108.x