Consistent estimators of the parameters of a linear structural relation |
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Authors: | J Wolfowitz |
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Institution: | Ithaca , N. Y. |
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Abstract: | Abstract 1. Summary of results. Let E and Eo be chance variables at least one of which is not normally distributed (throughout the present paper a chance variable which is constant with probability one will be considered to be normally distributed with variance zero), and whose distribution is otherwise unknown, except that it is known that with probability one, where 0 and p are unknown constants, ![/></span>. Let (<i>u; v</i>) be jointly normally distributed chance variables with unknown covariance matrix, distributed independently of (ε, ε<sub>0</sub>). Without loss of generality we assume that the expected values <i>E u</i> and <i>E v</i>, of <i>u</i> and <i>v</i> respectively, are both zero. Define <img src=](/na101/home/literatum/publisher/tandf/journals/content/sact20/1952/sact20.v1952.i03-04/03461238.1955.10430689/production/images/medium/sact_a_10430689_o_ilf0001.gif) |
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