[ABE-L] Seminário: Modelos de Regressão e Aplicações - Mário de Castro, Inference in a structural heteroscedastic calibration model

[Silvia Ferrari]

*Seminário - Projeto Temático: Modelos de Regressão e Aplicações*

*Título*: Inference in a structural heteroscedastic calibration model

*Palestrante*: Mário de Castro, ICMC-USP

*Quando*: 18 de setembro, sexta-feira, às 11h.

*Onde*: Auditório Jacy Monteiro, Bloco B, piso térreo - IME-USP

Resumo. In this talk we deal with inference in an heteroscedastic
calibration model. We embrace a multivariate structural model with known
diagonal covariance error matrices, which is a common setup when different
measurement methods are compared. Maximum likelihood estimates are computed
numerically via the EM algorithm. Consistent estimation of the asymptotic
variance of the maximum likelihood estimators and a graphical device for
model checking are also discussed. Test statistics with asymptotic
chi-squared distribution are proposed for testing hypotheses of interest.
Results of simulations comprising point estimation, interval estimation,
and hypothesis testing are reported. An application to a real data set is
given.

Joint work with Manuel Galea (PUC de Chile, Chile).
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