On a consistent rank estimate in a linear structural model

Silvelyn Zwanzig

doi:10.2478/v10127-012-0019-7

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On a consistent rank estimate in a linear structural model

Tatra Mountains Mathematical Publications

Volume 51 (2012): Issue 1 (April 2012)

By: Silvelyn Zwanzig

Open Access

|Nov 2012

Abstract

The structural linear model is considered that is an errors-in- -variables model where the unobserved variables are i.i.d. In this model we can find linear transformations depending on the parameter, such that the transformed observations using the true parameter are uncorrelated. Then a parameter estimator is defined as a zero point of a consistent correlation estimator. A rank estimation is proposed as a zero point of Kendall’s correlation measure and its consistency is shown. While the Pearson estimate of the covariance delivers the total least squares estimate.

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