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Asymptotic Optimality of the Quasi-score Estimator in a Class of Linear Score Estimators

Alexander KukushHans Schneeweiß

出版	Techn. Univ., Sonderforschungsbereich Statistische Analyse Diskreter Strukturen, 2006
URL	http://books.google.com.hk/books?id=Z-f4xwEACAAJ&hl=&source=gbs_api

註釋

We prove that the quasi-score estimator in a mean-variance model is optimal in the class of (unbiased) linear score estimators, in the sense that the difference of the asymptotic covariance matrices of the linear score and quasi-score estimator is positive semi-definite. We also give conditions under which this difference in zero or under which it is positive definite. This result can be applied to measurement error models where it implies that the quasi-score estimator is asymptotically more efficient than the corrected score estimator.