Fiducial inference in the classical errors-in-variables model

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• 作者：Liang Yan ; Rui Wang ; Xingzhong Xu
• 关键词：Errors ; in ; variables model ; Gleser–Hwang effect ; Fiducial generalized confidence interval ; Generalized fiducial distribution ; Correct asymptotic coverage ; Hybrid model
• 刊名：Metrika
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：80
• 期：1
• 页码：93-114
• 全文大小：
• 刊物类别：Mathematics and Statistics
• 刊物主题：Statistics, general; Statistics for Business/Economics/Mathematical Finance/Insurance; Probability Theory and Stochastic Processes; Economic Theory/Quantitative Economics/Mathematical Methods;
• 出版者：Springer Berlin Heidelberg
• ISSN：1435-926X
• 卷排序：80

文摘

For the slope parameter of the classical errors-in-variables model, existing interval estimations with finite length will have confidence level equal to zero because of the Gleser–Hwang effect. Especially when the reliability ratio is low and the sample size is small, the Gleser–Hwang effect is so serious that it leads to the very liberal coverages and the unacceptable lengths of the existing confidence intervals. In this paper, we obtain two new fiducial intervals for the slope. One is based on a fiducial generalized pivotal quantity and we prove that this interval has the correct asymptotic coverage. The other fiducial interval is based on the method of the generalized fiducial distribution. We also construct these two fiducial intervals for the other parameters of interest of the classical errors-in-variables model and introduce these intervals to a hybrid model. Then, we compare these two fiducial intervals with the existing intervals in terms of empirical coverage and average length. Simulation results show that the two proposed fiducial intervals have better frequency performance. Finally, we provide a real data example to illustrate our approaches.