CONSISTENCY AND EFFICIENCY OF REGRESSION COEFFICIENT ESTIMATES IN LOCATION-SCALE MODELS
成果类型：
Article
署名作者：
GOULD, A; LAWLESS, JF
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.2307/2336604
发表日期：
1988
页码：
535540
关键词：
摘要：
The effect on estimation of regression coefficients in linear location-scale models is investigated when the error distribution is misspecified. It is shown that the maximum likelihood estimator under the incorrect model is still consistent. Its asymptotic efficiency relative to that of the maximum likelihood estimator based on the correct model is obtained and the estimation of asymptotic variances for the regression coefficient estimators is addressed.