广义区间算术中心与范围线性模型中的统一推断

UNIFORM INFERENCE IN A GENERALIZED INTERVAL ARITHMETIC CENTER AND RANGE LINEAR MODEL

Econometric Theory · 2021
被引 3
人大 A-ABS 4

中文导读

提出广义区间算术中心与范围模型,用于处理随机区间数据,构建带线性不等式约束的参数估计量,并开发渐近一致的检验方法,通过模拟验证有限样本表现。

Abstract

Via generalized interval arithmetic, we propose a Generalized Interval Arithmetic Center and Range (GIA-CR) model for random intervals, where parameters in the model satisfy linear inequality constraints. We construct a constrained estimator of the parameter vector and develop asymptotically uniformly valid tests for linear equality constraints on the parameters in the model. We conduct a simulation study to examine the finite sample performance of our estimator and tests. Furthermore, we propose a coefficient of determination for the GIA-CR model. As a separate contribution, we establish the asymptotic distribution of the constrained estimator in Blanco-Fernández (2015, Multiple Set Arithmetic-Based Linear Regression Models for Interval-Valued Variables) in which the parameters satisfy an increasing number of random inequality constraints.

广义区间算术区间值变量约束估计渐近均匀推断