Simple Estimation Procedure for Censored Regression Models with Known Error Distribution
نویسندگان
چکیده
A simple and tractable iterative least squares estimation procedure for censored regression models with known error distributions is analyzed. It is found to be equivalent to a well-defined Huber type M-estimate. Under a regularity condition, the algorithm has excellent convergence properties. The resulting estimate is shown to be 4N-consistent and asymptotically normal. 'Statistics Department, University of California, Berkeley. Supported by NSF Grant No. DMS-8718362 2Department of Agricultural and Applied Economics, University of Minnesota 3The Jacob Blaustein Institute for Desert Research, Ben-Gurion University of the Negev, Israel A Simple Estimation Procedure for Censored Regression Models with Known Error Distribution
منابع مشابه
Bayes Estimation for a Simple Step-stress Model with Type-I Censored Data from the Geometric Distribution
This paper focuses on a Bayes inference model for a simple step-stress life test using Type-I censored sample in a discrete set-up. Assuming the failure times at each stress level are geometrically distributed, the Bayes estimation problem of the parameters of interest is investigated in the both of point and interval approaches. To derive the Bayesian point estimators, some various balanced lo...
متن کاملMinimum Distance Estimation of Randomly Censored Regression Models with Endogeneity
This paper proposes minimum distance estimation procedures for the slope coefficients and location parameter in randomly censored regression models that are used in duration and competing risk models. The proposed procedure generalizes existing work in terms of weakening the restrictions imposed on the distribution of the error term and the censoring variable. Examples of such generalizations i...
متن کاملOptimal Simple Step-Stress Plan for Type-I Censored Data from Geometric Distribution
Abstract. A simple step-stress accelerated life testing plan is considered when the failure times in each level of stress are geometrically distributed under Type-I censoring. The problem of choosing the optimal plan is investigated using the asymptotic variance-optimality as well as determinant-optimality and probability-optimality criteria. To illustrate the results of the paper, an example i...
متن کاملEstimation of Parameters for an Extended Generalized Half Logistic Distribution Based on Complete and Censored Data
This paper considers an Extended Generalized Half Logistic distribution. We derive some properties of this distribution and then we discuss estimation of the distribution parameters by the methods of moments, maximum likelihood and the new method of minimum spacing distance estimator based on complete data. Also, maximum likelihood equations for estimating the parameters based on Type-I and Typ...
متن کاملWorking Paper Department of Economics ^simheteicallt Trimmki) Least Squares Estimation Foe Tobit Models
This papjer proposes alternatives to maximum likelihood estimation of the censored and truncated regression models (known to economists as "Tobit" models) . The proposed estimators are based on symmetric censoring or truncation of the upper tail of the distribution of the dependent variable. Unlike methods based on the assumption of identically distributed Gaussian errors/ the estimators are co...
متن کامل