A bivariate integer-valued autoregressive process of order 1 (BINAR(1)) with copula-joint innovations is studied. Different parameter estimation methods are analyzed and compared via Monte Carlo simulations with emphasis on estimation of the copula dependence parameter. An empirical application on defaulted and non-defaulted loan data is carried out using different combinations of copula functions and marginal distribution functions covering the cases where both marginal distributions are from the same family, as well as the case where they are from different distribution families.
This paper deals with a homoskedastic errors-in-variables linear regression model and properties of the total least squares (TLS) estimator. We partly revise the consistency results for the TLS estimator previously obtained by the author . We present complete and comprehensive proofs of consistency theorems. A theoretical foundation for construction of the TLS estimator and its relation to the generalized eigenvalue problem is explained. Particularly, the uniqueness of the estimate is proved. The Frobenius norm in the definition of the estimator can be substituted by the spectral norm, or by any other unitarily invariant norm; then the consistency results are still valid.
We consider a multivariate functional measurement error model $AX\approx B$. The errors in $[A,B]$ are uncorrelated, row-wise independent, and have equal (unknown) variances. We study the total least squares estimator of X, which, in the case of normal errors, coincides with the maximum likelihood one. We give conditions for asymptotic normality of the estimator when the number of rows in A is increasing. Under mild assumptions, the covariance structure of the limit Gaussian random matrix is nonsingular. For normal errors, the results can be used to construct an asymptotic confidence interval for a linear functional of X.
We consider the two-line fitting problem. True points lie on two straight lines and are observed with Gaussian perturbations. For each observed point, it is not known on which line the corresponding true point lies. The parameters of the lines are estimated.
This model is a restriction of the conic section fitting model because a couple of two lines is a degenerate conic section. The following estimators are constructed: two projections of the adjusted least squares estimator in the conic section fitting model, orthogonal regression estimator, parametric maximum likelihood estimator in the Gaussian model, and regular best asymptotically normal moment estimator.
The conditions for the consistency and asymptotic normality of the projections of the adjusted least squares estimator are provided. All the estimators constructed in the paper are equivariant. The estimators are compared numerically.
In this paper we define the consistent criteria of hypotheses such as the probability of any kind of errors is zero for given criteria. We prove necessary and sufficient conditions for the existence of such criteria.