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- W52622948 abstract "It is well known that the accuracy of instrumental variable (IV) methods for parameter estimation can be significantly improved by weighting the estimating equations. However, the optimal weight typically depends on unknown parameters and needs to be estimated before it can be used in the IV estimator. In many parameter estimation problems the optimal weighting matrix is equal to the DC power of a certain vector process. It is known to be a difficult task to consistently estimate power in a nonparametric manner at any frequency (e.g., the periodogram cannot achieve this). However, for the case considered in this paper we show that there exists a natural nonparametric consistent estimator of the DC power matrix or, equivalently, the optimal weighting matrix. This result is expected to increase the interest in using optimally weighted parameter estimation methods of instrumental variable or related type." @default.
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- W52622948 date "2000-06-01" @default.
- W52622948 modified "2023-09-30" @default.
- W52622948 title "On the Estimation of Optimal Weights for Instrumental Variable System Identification Methods" @default.
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- W52622948 doi "https://doi.org/10.1016/s1474-6670(17)39871-3" @default.
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