Elliptical Functional Models

F. Vilca-Labra, R. B. Arellano-Valle and H. Bolfarine

Journal of Multivariate Analysis, 1998, vol. 65, issue 1, 36-57

Abstract: In this paper, functional models with not replications are investigated within the class of the elliptical distributions. Emphasis is placed on the special case of the Student-t distribution. Main results encompasses consistency and asymptotic normality of the maximum likelihood estimators. Due to the presence of incidental parameters, standard maximum likelihood methodology cannot be used to obtain the main results, which require extensions of some existing results related to elliptical distributions. Asymptotic relative efficiencies are reported which show that the generalized least squares estimator can be highly inefficient when compared with the maximum likelihood estimator under nonnormality.

Keywords: asymptotic relative efficiency; elliptical distributions; incidental parameters; maximum likelihood estimators; Student-t distribution (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (4)

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