The structural linear model is considered that is an errors-invariables model where the unobserved variables are i.i.d. In this model we can findlinear transformations depending on the parameter, such that the transformed observations using the true parameter are uncorrelated. Then an estimator is definedas a zero point of a consistent correlation estimator. The Pearson estimate of thecovariance delivers the total least squares estimate. A rank estimation is proposedas a zero point of Kendalls correlation measure and its consistency is shown.
@article{160,
title = {On a consistent rank estimate in a linear structural model},
journal = {Tatra Mountains Mathematical Publications},
volume = {51},
year = {2012},
doi = {10.2478/tatra.v51i1.160},
language = {EN},
url = {http://dml.mathdoc.fr/item/160}
}
Zwanzig, Silvelyn. On a consistent rank estimate in a linear structural model. Tatra Mountains Mathematical Publications, Tome 51 (2012) . doi : 10.2478/tatra.v51i1.160. http://gdmltest.u-ga.fr/item/160/