Estimation in a Multivariate "Errors in Variables" Regression Model: Large Sample Results

Author(s): Leon Jay Gleser

Source: The Annals of Statistics, Vol. 9, No. 1 (Jan., 1981), pp. 24-44
Published by: Institute of Mathematical Statistics
Stable URL: http://www.jstor.org/stable/2240867
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TheAnnalsof Statistics
1981,Vol. 9, No. 1,24-44

ESTIMATION IN A MULTIVARIATE "ERRORS IN VARIABLES"

REGRESSION MODEL: LARGE SAMPLE RESULTS'

BY LEON JAY GLESER

Purdue University
In a multivariate "errors invariables"regression model,theunknown mean
vectors ul: p x 1,U2t: r x 1 ofthevectorobservations xi,,X2,,ratherthanthe
observations themselves, areassumedtofollowthelinearrelation: U2,= a + Bui,
= 1,2, . . ., n. It is furtherassumedthattherandomerrorset= x,- u, x I =
x'2,),ut= (ul'i,u'2,),arei.i.d.random vectorswithcommon covariance matrix Ie-
Sucha modelis a generalization oftheunivariate (r = 1) "errorsin variables"
regression modelwhichhasbeenofinterest tostatisticiansforovera century.
In thepresent paper,itis shownthatwhen1e = 2Ip+r, a wideclassofleast
squaresapproaches toestimation oftheintercept vectora andslopematrix B all
lead to identical estimators & and B oftheserespective parameters, and that&
andB arealsothemaximum likelihoodestimators (MLE's) ofa andB underthe
assumption of normally distributederrorse,. Formulasfor&, B and also the
MLE's U1 anda2 oftheparameters U1 = (ull,* **,uln)anda2 aregiven.Under
reasonable assumptions concerning theunknown sequence{ul,,i = 1,2, *. . ), &,
B and r1'(r + p)a2 are shownto be strongly (withprobability one) consistent
estimators of a, B and a2, respectively, as n -- oo,regardless of thecommon
distribution of theerrorse,. Whenthiscommonerrordistribution has finite
fourth moments, &, B and r-'(r + p)a2 are also shownto be asymptotically
normally distributed. Finallylarge-sample approximate 100(1- v)% confidence
regions fora, B anda2 areconstructed.

1. Introduction. It is well known that the presenceof errorsof measurementin the

independentvariables in univariate(one dependentvariable) linear regressionmakes the
ordinaryleast squaresestimatorsinconsistent and biased. An extensiveliterature, datingback
to Adcock (1878), deals withestimationin modelsof univariateregressionwhichincorporate
"errorsin variables."(For references,see Anderson(1976), Madansky(1959), Moran (1971),
Sprent(1966).) Less is known concerningestimationin multivariate"errorsin variables"
regression modelsas such;although,as shownlater,suchmodelsare mathematically equivalent
to linearfunctionalequationmodelsand certainmodelsoffactoranalysis,forwhicha sizeable
and constantly expandingliterature exists(see Anderson(1976)). Recentworkrelatingdirectly
to themultivariate"errorsin variables"modelas parameterized in thepresentpaperhas been
done by Gleser and Watson(1973). Bhargava(1979), and Healy (1975).
In a multivariate"errorsin variables"regressionmodel,n randomvectorsxl = (x',, x'21)'
are observed,wherexi, isp x 1 and x2iis r x 1, i = 1, 2, ** , n. It is assumedthat

(1.1) X, 1=11+ JUi + e,

(1.1) Xl \(X21) \U2i/ (e2i)

where
(1.2) u21= a + Bu1l, i= 1,29 * , n,

ReceivedAugust1976;revised December1979.
1This research
was supported by theAir ForceOfficeof Scientific Research, AirForceSystems
Command, USAF underGrantsAFOSR-72-2350B andAFOSR-77-3291 at PurdueUniversity.
AMS 1970subjectclassiflcations.
Primary 62H10,62E20;secondary 62F10,62F25,62H25,62P15,
62P20.
Keywordsandphrases.Errorsin variables, linearfunctional
equations,factor multivariate
analysis,
leastsquares,generalized
linearregression, leastsquares,orthogonally
invariant norm,maximum like-
lihood,strongconsistency,
asymptotic distributions,
approximateconfidence regions,
principal
compo-
nents. 24

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 "ERRORS IN VARIABLES" REGRESSION 25

and that
(1.3) theei's are i.i.d. withmean vector0 and covariancematrixle.
The parametersB: r x p and uii: p x 1, i = 1,2, ** *, n are assumedto be unknown,and are
to be estimated.The parametera: r x 1 is eitherknownto be 0 (theno-intercept
model),or else
is unknown(the intercept model) and mustbe estimated.If consistentsequencesof estimators
forB are desired,theparametricformof le cannotbe completelyunspecified(see Section5).
In thepresentpaper,it is assumedthatle = U2Ip+r wherethescalar a2 > 0 is unknownand is
to be estimated.That is, theassumption(1.3) is specializedto thefollowing:
(1.3') The e's are i.i.d. withmean vector0 and covariancematrixle = a2Ip+r.

In Section5, it is shownthatwhenle, = U20, lo knownand positivedefinite,thenthe data

can be transformed linearlyin such a way that(1.1), (1.2), and (1.3') hold forthetransformed
data.
To condensenotation,let X1 be thep x n randommatrixwhose columnsare xli, i = 1, 2,
** , n, and let X2 be ther x n randommatrixwhosecolumnsare x21,i = 1,2, ... , n. Similarly,
let Ui be thep x n matrixwhosecolumnsare uli,i = 1,2, ... , n,and let U2be ther x n matrix
whose columnsare U2i, i = 1, 2, *.. , n. Finally,let E be the (p + r) x n randomerrormatrix
whose columnsare e1,i = 1, 2, *. . , n, and let

X (X U= ( :l (P + r) x n,
have columns xi, x2, *.. , xn and ul, U2, *.. , un, In termsof thesematrices,the
respectively.
model (1.1), (1.2) becomes

(1.4) X=U+E= (hi) + (?P)U + F,

whereIn = (1, 1 *.. 1): 1 X n. The assumption(1.3') can be restatedas follows:

ASSUMPTION A. The columnsof E are i.i.d. withcommonmean vector0 and common

covariancematrixle, wherele = a 2Ip+r.

The mathematicalequivalencebetweenmodelsoftheform(1.4), linearfunctionalequation

models,and certainfixed-factorsanalysismodelsis discussedat theend of thisintroduction.
Two approachesto theestimationoftheparametersa, B, U1and a2 have receivedprimary
attentionin the literatureon univariate(r = 1) "errorsin variables" regressionmodels. In
what may be called the MLE approach,it is assumed thatthe commondistribution of the
columnsof E is multivariatenormal,and maximumlikelihoodestimators(MLE's) of the
parametersare found. In contrast,the GLSE approachmakes no assumptionsabout the
distribution
of E beyondthosefoundin AssumptionA. Since underthemodel(1.4), X2- al'n
- BX1 has mean 0 : r x n and columnswithcommoncovariancematrixa2(Ir + BB'), values
of a and B are chosen to minimizesome scalar functionof the normalized"error"(or
"residual")matrix

(1.5) Q(a, B; X) = (Ir + BB')1a2(X2-l' -BX)

where(Ir + BB')1/2 is any square rootof Ir + BB'. In thecase r = 1,(1.5) is an n-dimensional
vector,and minimizationof the lengthof (1.5) yieldsthegeneralizedleastsquaresestimators
(GLSE's) of Sprent(1966). (See also Moran, 1971;pages 246-7.) In thiscase, the MLE and
GLSE approachesyieldidenticalestimators. Whenr > 1,manyscalarfunctions of (1.5) could
be used. In thecase r = p of theno-intercept model,Gleserand Watson(1973) showthatthe
MLE approachand theGLSE approachwhichminimizestheEuclideannorm(tr[QQ'])1/2 of
(1.5) lead to the same estimatorof B. In additionto the MLE and GLSE approaches,an
approachanalogous to ordinaryleastsquarescould be used,based on minimizing some scalar
functionof

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26 LEON JAY GLESER

(1.6) R(a BBU X) = X- Q - (P)ul

overa, B, U1.It is wellknownthatthismethod, whenbasedon minimizing theEuclidean

norm(tr[RR'])112of(1.6),andtheMLE approachyieldthesameestimators ofa, B and U1.
In Section2, itis shownthattheGLSE approachbasedon minimizing anyorthogonally
invariantnorm(seeDefinition 2.1)of(1.5)yieldsthesameestimators ofa andB as theMLE
approach.It is alsoshownthattheordinary leastsquaresapproachbasedon minmizimg any
orthogonally invariant normof(1.6) yieldsthesameestimators ofa, B and U1 as theMLE
approach.Formulas aregivenfortheMLE's a2,B, U1and'a ofa2, B, U1anda underboththe
interceptandno-intercept models,andtheuniqueness oftheseestimatorsas MLE's,GLSE's
andordinary leastsquaresestimators is discussed.
In Section3, itis shownthatB and r -(p + r)&2,definesequencesofstrongly consistent
(as n oo) estimators ofB anda2 respectively, inboththeintercept andno-intercept models;
and thatin theintercept model,a definesa sequenceof strongly consistentestimators of a.
For theintercept model'with r c p, theseresults havepreviously beenreported by Healy
(1975). Thestrong consistencyresultsofSection3 areobtained withoutanyassumptions about
thedistribution ofE beyondthosestatedin Assumption A. In particular,
it is notassumed
thatthecolumnsofE havea multivariate normaldistribution.
Strong consistency results
(whichassertconvergence withprobabilityone)providedeeper
knowledge of the large-sample properties of estimatorsthando weak consistency results
(whichassertonlyconvergence in probability).
Resultsofthelattertypehavebeenobtained
forB andr-'(r+ p),&2 fortheno-intercept modelbyGleserandWatson(1973)andBhargava
(1979),and in thecase r = 1 forbothno-intercept and interceptmodelsby manyauthors.
Although weakconsistency resultsareadequateforobtaining large-sample
distributions and
of estimators,
Fisherefficiencies resultsseem to be needed in thetheoryof
strongconsistency
sequentialestimation (see, e.g.,Gleserand Kunte(1976)) and in deriving large-deviation
based measuresof efficiency (Bahadur(1971)). Hence,it is worthdemonstrating thata
sequence; ofestimators is strongly fora parameter
consistent (.
Section4 considerslarge-sample results
distributional forn'12(B - B) andn1/2(r-1(r+ p)&2
-a2) in boththeintercept andno-intercept models,andforn'12(a- a) intheintercept model.
If thecommondistribution of thecolumnsofE has finite fourth moments, thesequantities
haveasymptotic multivariate normaldistributions.
Assuming thatthecommon distributionof
thecolumns ofE is multivariatenormalwithmeanvector 0 andcovariance matrix a2Ip+r (that
is, e- MVN(O,a2Ip+r),all i), or thatthemoments ofthiscommondistribution up to,and
including, thefourth-order agreewiththecorresponding moments of theMVN(O,a2Ip+r)
distribution,approximate large-sample 100(1- v)%confidence regionsfora, B and a2 are
constructed. Finally,Section5 discussesthepracticalrelevance oftheassumptions neededto
carrythrough thelarge-sample theory.

Two relatedmodels. Beforebeginning discussionof the theoretical

resultsmentioned
above,it is worthcommenting on therelationship
ofthemodel(1.4) to twomathematically
equivalentmodelsforwhichthereis an extensive literature-thelinearfunctionalequation
modeland thefactoranalysismodelwithfixedfactors. Bothof thesemodelsstartwiththe
assumption thata (p + r) x n matrix
X ofobservationshasthestructure
(1.7) X=U+E,
where U is a (p + r) x n matrix
of unknown
constants
believedto haverankp, and the
columnsofE arei.i.d.withcommonmeanvector-1andcommoncovariance matrix,eXThe
assertion
thatU hasrankp is equivalent
toasserting ofan r x (p + r) matrix
theexistence K
offullranksuchthat
(1.8) KU= 0.
EvenifU is known,
sucha matrixK is notunique.Linearfunctional
equationmodelsimpose
on K and U sufficient
conditions to insurestatistical of theseparameters;
identifiability the

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 "ERRORS IN VARIABLES" REGRESSION 27

goal of users of such models is to estimatethe matrixK of functionalcoefficients. Tintner

(1945) and Geary (1948) assume that Y.e is known (or estimableby an independentand
consistent estimatorYe),and use theMLE approachto estimateK and U. Geary(1948) proves
weak consistency of theMLE K and discussestheproblemof consistently estimating n1 U(In
- n 11n1) U'. Using large-sampledistributional resultsof Anderson (1948), Geary also
obtainstheclassicalFisherefficiency ofK. These large-sampleresults(exceptfortheefficiency)
do notrequiretheassumptionthatthecommondistribution ofthecolumnsofE is multivariate
normal.
As notedby Anderson(1976), Geary'sresultscan be made to applyto thecase whereit is
assumedthatSe = u2'o, wherelo is known.Such a modelcan be transformed (see Section5)
intoa model of theform(1.7), (1.8) in whichSe = a2Ip+r, corresponding to AssumptionA. In
this case, the restrictionupon K imposed by Tintner(1945) and Geary (1948) to permit
of theparametersis that
statisticalidentifiability
(1.9) KK' = Ir.
Note thatthe"errorsin variables"model(1.4) has theformof(1.7), (1.8) with7' = (0, a'), but
insteadof (1.9) requiresthatK has theform
K = (- B, Ir).
Anotherassertionequivalentto the statement
that U in (1.7) has rankp is that
(1.10) U=LF,
whereL: (p + r) x p and F: p x n are both of rankp. Equation (1.10) is recognizableas
defininga factoranalysismodelin whichL is thematrixoffactorloadingsand F is thematrix
of factorscores.Most of the literatureon factoranalysisassumesthatthe columnsof F are
and thatSe is an unknowndiagonal matrix.
i.i.d. replicationsof a MVN(O, Ip) distribution,
However,Whittle(1952), Lindley (1953) and Andersonand Rubin (1956) discuss the case
whereF is assumedfixed(fixedfactors),with
(1.11) Fln=O, FF'=nIp

and Se = aIp+r. The restrictions (1.11) are not enough to statistically

identifythe model;
Andersonand Rubin (1956) providea detaileddiscussionof thekindsof conditionson L that
can serveforthispurpose.Using the restriction thatL'L is diagonal withdistinctdescending
diagonal elements,Lindley(1953) uses the MLE approach to obtainestimatorsof L, F and
a2. Both Lindley(1953) and Andersonand Rubin (1956) discussweak consistency and large-
sampledistribution theoryfortheMLE ofL and a2 (again,withoutassumingthatthecolumns
of E have a multivariate normaldistribution).Clearly,the "errorsin variables"model (1.4)
has the formof (1.10) withF = U1,
,' = (0, a') and

(1.12) B

The requirement (1.12) specifiesthatcertainelementsof L have knownvalues,corresponding

to one of the methodsof identifying the model (1.10) suggestedby Andersonand Rubin
(1956).
Since the models (1.4), (1.8), (1.10) all stem froma commonlinear structure(1.7), it is
reasonableto expectthatMLE's and large-sampleresultsfortheMLE's of theparametersof
any one model can be used to obtain MLE's and large sample resultsforthe MLE's of the
othermodels. Providedthat the parametersof the models (1.8) and (1.10) are sufficiently
restrictedso as to insurestatisticalidentifiability,
thisexpectationis (withan exceptionnoted
below) largelycorrect.Nevertheless, in thepresentpaperlittleuse is made ofresultsappearing
in the literatureof linear functionalequation and fixed-factor factoranalysis models. In
Section 2, the MLE approach is treatedin the contextof a broader,more distribution-free
least squares approach forwhichfewparallelsappear in the literature of the relatedmodels.
The large-sampleresultsof Sections3 and 4 are obtainedwithoutassumingthatthenonzero

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28 LEON JAY GLESER

eigenvaluesoflimn con -'UU' (in theno-intercept model),or oflimn yc.n-'U(In-n

- n'1lE) U'
in theinterceptmodel,are distinct,an assumptionadopted(and apparentlynecessary)forthe
large-sampleresultsobtainedin the literatureof theothertwo modelsrelatingto thecase Se
= U2Ip+r.Finally,since the parametersof the model (1.4) have importantpracticalinterpre-
tationsin mayscientificcontexts,and sincethismodelhas longbeen ofinterest to statisticians,
it seemsdesirableto analyzethismodelstrictly in termsof itsown structure,
particularly since
such a directapproachhas the advantageof clarity.

2. MLE and GLSE estimators. Because the analyses of the no-intercept and intercept
formsof the model (1.4) involvesimilarsteps,an attemptis made in thefollowingsectionsto
treatthesetwo formsof themodel simultaneously. To thisend let
(2.1) Cn = I,, fortheno-intercept
model,
= In - llnln, fortheinterceptmodel.
The estimatorsconsideredin thispaper are based on the followingreductionof the data X:
Let

(2.2) W = XCnX,
and let di : d2 **dp 2 dp i . dp+,' 0 be the (ordered)eigenvaluesof W. Let

(2.3) D = (Dmax 0 = diag(di, d2, ... dp+r),

~0 Dmin/

whereDmax= diag(d1,d2,..., dp),Dmin= diag(dp+1,..., dp+r).Finally,let

(2.4) G= KGl G2) :(p + r) x (p + r), Gil:p xp,

satisfy
(2.5) G'G = Ip+r= GG'
(2.6) W= GDG'.

That is, G is an orthogonalmatrixwhose ith columnis theeigenvector

of W corresponding
to
digi = 19..vvp + r.
AssumingthatGH1land G'-21
exist,defineestimatorsof B, U1 and a as follows:
(2.7) B= G2iGL =-(G22) 12,

(2.8) = [(Ip - G12G12)X1-Gl2G22X2]Cn

U1 = (G11G1'Xl + GllG21X2)Cn
(2.9) a = 0, fortheno-intercept
model,
= (-B, Ir)i, fortheinterceptmodel,
wherex = (xl, V'2)'= n-'X1L. The equivalenceof thealternative
computationformulasforB
and CT1givenin (2.7) and (2.8) followas a directconsequenceof (2.5). Whetheror not Gil
and Gi-21
exist,defme
(2.10) 62 = n-l(p + r)-ltr[Dmm].
Since computationof B requiresthatGT1'and/orG-1 exist,the followingtwo lemmasare
of interest.

LEMMA 2.1. If G is definedby (2.4) and (2.5), thenGi1is nonsingular

ifand onlyif G22is
nonsingular.

PROOF. Suppose thatGi1is nonsingular.Let G22.1= G22- G21G-'G12. From thedetermi-

j and the factsthat I G I # 0, IGli I # 0, it followsthat
nantal equality I G l = Gl 1 G22.1

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 "ERRORS IN VARIABLES" REGRESSION 29

I G2211 #?0. However,it is a consequenceof (2.5) thatG21G'1+ G22G'21 = 0, and hencethat

G22.1 = G22[Ir + (GiV1G12)'(G1iV1G12)].

I
Therefore,G22#1 0 and G22is nonsingular.A similarargumentshowsthatthenonsingularity
of G22impliesthatGii is nonsingular.0

LEMMA2.2. Let G be definedby (2.4), (2.5) and (2.6). If Assumption

A holds,rank(CG)-
of thecolumnsof E is absolutelycontinuouswithrespectto
p + r, and thecommondistribution
Lebesguemeasureon (p + r)-dimensionalEuclideanspace,then
(2.11) P { G1 and G22are nonsingular}= 1.

PROOF. From thegiven,it is straightforward

to show thattheelementsof Won or below
the diagonal have a joint distributionwhich is absolutely continuous with respect to
1/2 (p + r)(p + r + 1)-dimensional
Lebesguemeasure.Representing theelementsof G in terms
of polar coordinates,transforming fromW to (G, D), and thenintegratingout termsnot of
interest,it can be shownthatifp c r, thep2 elementsof Gli have an absolutelycontinuous
distribution withrespecttop2-dimensionalLebesgue measure;whileif r c p, ther2elements
of G22have an absolutelycontinuousdistribution with respectto r2-dimensionalLebesgue
measure.Considerthe case p c r. (The case r c p is treatedsimilarly.)Note thatI GII is a
polynomialin the elementsof GI1.By Okamoto's(1973) lemma,P{I G,I1I 0O} = 1, and this,
togetherwithLemma 2.1, implies(2.11). 0

For any s x t matrixA, s c t,let X,[A] be the ith largestnonzerosingularvalue ofA; that
is, X[A] is the ithlargesteigenvalueofAA', or ofA'A, and
>As[A]? O.
JA] : A2[A]- **:*.-
Recall thatifA is an s x s positivesemidefinite
matrix(A is p.s.d.),thenX1[A],* * X,[A] are
also theeigenvaluesofA. If A1,A2 are s x s symmetric matrices,thenotationA1 > A2 means
thatA1 - A2 is p.s.d. It is well knownthatifA1,A2 are s x s symmetric,
(2.12) : XJ[A2],
A1 A2 impliesthatAX[AI] i = 1,2, *, S.

FurtherifA,1? A2 and A1 7 A2, at leastone ofthedifferences

Xi[A1]- Xi[A2]mustbe positive.

DEFINITION 2. 1. An orthogonally normjj jjdefinedon s x t matricesA is a norm

invariant
whichalso has the property
that

IjH1A 11= jIAjj = IjAH211

forall A s x t,all H1: s X s orthogonal,all H2 t x t orthogonal.
Using the singularvalue decompositionfors x t matrices,it is easily shown that any
orthogonallyinvariantnormIIA 11is a functionof A only throughX1[A],*... XJA]. Indeed,
the followingis true.

LEMMA 2.3. Thefunction11 11on s x t matricesA is an orthogonally normifand

invariant
onlyif
(2.13) jjA 11= g(Qu[A],** Xs[A])
for somesymmetric
gaugefunction(s.g.f.)g(.) definedon s-dimensional
Euclideanspace.

PROOF. See von Neumann(1937).

A scalar-valuedfunctiong(.) definedon s-dimensionalEuclidean space is an s.g.f.ifg(.)

is a normwhichfurther satisfies

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30 LEON JAY GLESER

g(D?1PX) = g(X)
for all X: s x 1, all diagonal matricesD?1 having ?1's on the diagonal, and all s x s
permutation matricesP.
LEMMA2.4. Let g(.) be an s.g.f.on s-dimensional
space.
(i) The functiong*(Xi) definedon si-dimensionalEuclidean space, si S s, by g*(xl) =
g((XI, 0')') is an s.g.f.
(ii) If XA'1= (XM),... , X
X())', j = 1, 2, and IX( iC 1 i = 1, 2, s, theng(X1l))
g(X(2)).

of an s.g.f.A proofof part(ii) appears

PROOF. Part(i) followsdirectlyfromthedefinition
in Olkin (1966; pages 55-56). 0

are implicit(or explicit)in thediscussionof Section 1.

The followingdefinitions

DEFINITION2.2. The estimatorsxx(X),B(X), J1(X)are ordinaryleastsquaresestimators

(OLSE's) of a, B, U1, respectively,relativeto an orthogonally
invariantnorm definedon
(p + r) X n matricesR, if forall a, B, U1, X,
jf R(a, B, U1,;X) ljj R(i(X), B(X), U1(X); X) j,

whereR(a, B, U1; X) is definedby (1.6).

DEFINITION2.3. The estimatorsa*(X), B*(X) are GLSE's of a, B, respectively,

relativeto
an orthogonally j definedon r x n matricesQ, ifforall a, B, X,
invariantnorm11 Ilo

Q(a, B; X) Ijo?
11 11Q(a*(X), B*(X); X)I|o,
whereQ(a, B; X) is defmedby (1.5).

THEOREM 2.1. If G-1 and G-1 exist,thenoi(X), B(X), (1(X) definedby (2.9), (2.7) and
(2.8) are OLSE's ofa, B, U1relativetoanyorthogonally normon (p + r) X n matrices,
invariant
andfurtheroi(X) and B(X) are GLSE's relativeto any orthogonallyinvariantnormon r X n
matrices.

PROOF. Let 11-1 be any orthogonally invariantnormdefinedon (p + r) x n matrices.Fix

a and B. Applyingclassical projectionarguments,it can be shownthat
(2.14) R'(a, B, U1; X)R(a, B, U1; X) > R'(a, B, U,(a, B); X)R(a, B, a4(a, B); X),
where

(2.15) Ui(a, B) = (Ip + B'B)'(Ip, B')[X (- 0)1

Indeed, equalityin (2.14) holds if and only if U1 = Ui(a, B). Since the nonzeroeigenvalues
of R'R and RR' are identical,it now followsfrom(2.14), (2.12), the "onlyif" partof Lemma
2.3, and Lemma 2.4(ii) that
(2.16) IIR(a,B, U1; X)II > IR(a, B, Ui(a, B); X)II.
Note, from(1.5), (1.6) and (2.15), that

R(a, B, U1(a,B); X) = [I+r - ()(Ip + B'B)('(I, B')]X ( )]

(2.17) [(Ir)(Ir + BB') (B, Ir)][X-(aWL)]

= rT(B)Q(a, B; X),

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 "ERRORS IN VARIABLES" REGRESSION 31

where
(2.18) 17(B) = (IJ + BB')-1/2(-B, Ir)
matrix.In consequence,p singularvaluesofR(a, B, U6((a,B);
is an r x (p + r) row-orthogonal
X) are zero,withtheremainingr singularvalues beingequal to thesingularvalues of Q(a, B;
X). From Lemma 2.3 and Lemma 2.4(i), thereis an orthogonallyinvariantnormjj jodefmed
on r x n matricesQ such that
(2.19) 1jR(a, B, U1(a,B); X) jj = jjQ(a, B; X) Ilo,
forall a, B, X. Notingthat U1 = U01(Q,B), it followsthatifit can be shownthat(xand B are
GLSE'$ of a and B relativeto any orthogonally invariantnorm11jlo on r x n matrices,then
the OLSE-characterof (x,B, U1 realtiveto 11 11will followas an immediatecorollary.
Hence, let lobe any orthogonally invariantnormdefmedon r X n matricesQ. Fix B and
note thatforall a, X,

(2.20) Q(a, B; X)Q'(a, B; X) ? Q(O,B; XCn)Q'(O,B; XCG)

withequalityholdingifand onlyif
a = a(B) = 0, in theno-intercept
model,
(2.21)
= (-B, Ir)i, in theinterceptmodel.
Consequently,(2.12) and Lemma (2.4)(ii) implythat

(2.22) 1jQ(a, B; X) llo-11Q(Q(B), B; X) tlo= 1jQ(O, B; XCn)Ilo.

Now, note that

(2.23) Q(O,B; XCn) = I'(B)XCn,

wherer(B) is defmedby (2.18). It is a consequenceof theCourant-Fischer
min-maxtheorem
matricesr:r x (p + r),
thatforall row-orthogonal
(2.24) xi[rXCn]? xp+i[XC]c A[W] = d1, 2, .
*, r,

withequalityholdingforall i in (2.24) if
(2.25) 1r = A(G21, G22)

forsome r x r orthogonalmatrixA. It is easily shownthatIF = 1(B) satisfies(2.25) withA

= (G22G22)1/2(G22)-l.Thus, it followsfrom(2.23), (2.24), Lemma 2.3 and Lemma 2.4(ii) that
forall B, X,

(2.26) Q(O, B; XCn) to

11 0 IIQ(O, B; XC.) tlo
= g(dpl21,*** dl/2,)

to 1 to.Applying(2.22) and (2.26) yields

whereg(.) is thes.g.f.corresponding
(2.27) Q(a, B; X) lo- 11Q(d,B; X) tloa g(dp)K?21, dp/2,)
11
provingthat, and B are GLSE's of a, B relativeto 11Il.

It is of interestto determinewhena, B, U1 are theuniqueOLSE's of a, B, U1relativeto an

orthogonally invariantnorm11 and similarlywhen, and B are theunique GLSE's of a, B
relativeto an orthogonally invariantnorm11*IloLookingthroughtheproofofTheorem2.1 it
is clear thatsuch uniquenessis onlypossibleifthenorms11 R 11 Qllo
or 11 monotonic
are strictly
in the singularvalues of R and Q,respectively.

DEFINITION 2.4. An orthogonally invariantnorm11A 11 on s X t matricesA, s c t is strictly

monotonicif Xj[Aj] - Xi[A2],i = 1, 2, *., s, withstrictinequalityholdingforat least one
indexi, impliesthat IA1
A, > ||A2 1.

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32 LEON JAY GLESER

Note thatthe classical Euclidean norm11A11= (tr[AA'])'12is orthogonallyinvariantand

strictlymonotonic,but that the orthogonallyinvariantnorm [[A11= XA[A]is not strictly
monotonic.

ofLemma 2.2 hold. Then

THEOREM 2.2 Assumethattheconditions
one) OLSE's of a, B and U1 relativeto any
(i) 6, B and U1 are theunique(withprobability
strictlymonotonic, orthogonally norm
invariant on (p + r) x n matricesR;
one) GLSE's of a and B relativeto any strictly
(ii) i and B are theunique(withprobability
monotonic, orthogonally norm 11o on r x n matricesQ.
invariant

PROOF. Let ' be thecollectionofall X: (p + r) x n forwhichG11and G22 are nonsingular,

and also dp> dp+1.It followsfromLemma 2.2 and resultsof Okamoto(1973) thatP(W) = 1.
Fix X E W. Recall that Ui(ei, B) = L1, o(B) = o. Also notethatsince G22 is nonsingular,
the
onlysolutionforB of theequality
(2.28) r(B) = (Ir + BB') 12(-B, Ir) = A(G'12,G22)

is B = B. However,sincedp> dp+1,theequality(2.25) is a necessaryand sufficient condition

forequalityto hold forall i in (2.24). Now using (2.12), the remarkfollowing(2.12), and
Definition2.4, and retracingthe stepsof the proofof Theorem2.1, assertions(i) and (ii) are
easilyverified.0

REMARK. Ifthecommonjointdistribution ofthecolumnsofE is notabsolutelycontinuous

withrespectto Lebesguemeasure,or ifrank(Cn) < p + r (so thattheconditionsof Lemma 2.2
failto hold),it is conceivablethata collectionof X-valuescould existwithpositiveprobability
forwhichdp> dp+1,but forwhichGil and G22 are singular.In thiscase, no solutionforB in
(2.28) can existand thusno B existsforwhichxi[r(B)XCn] = dp/4+2, i = 1,2, ***, r (see (2.24)
monotonic,thenforthiscollectionof X's, OLSE's of
and (2.25)). If 11 11,or 11 Ilo, are strictly
a, B, U1 and GLSE's of a, B do notexist.This assertionfollowssinceit is possibleto showfor
any orthogonally invariantnorm11Ilo on r x n matricesthat
(2.29) infa,B 11Q(a, B; X) llo= g(dpA+2,* * *d,l+2r)
to 11 Ilo, and thenthe above argumentshows thatthis
whereg(.) is the s.g.f.corresponding
infimumcannotbe attainedby any (a, B).

It remainsto show thatoi, B, LA and 62 are MLE's of theirrespectiveparameters.

THEOREM 2.3. If rank (Ca) - p + r and the commondistribution of thecolumnsof E is
are
normal,theno&,B, L1 and 62 definedby(2.9), (2.7), (2.8) and (2. 10), respectively,
multivariate
one) MLE's of a, B, U1 and a2. Further,
theunique(withprobability

maxa,B,Ul,2 L(X; a, B, U1, a 2) = L(X; ei,B, U1, 62)

(2-30) f p + r)
~~~~~~~~n( npr/
(2.30)
{(2re)(tr[Dmb}])

whereL(X; a, B, U1, a2) is thelikelihoodof X.

PROOF. The likelihoodof thedata X is

(2.31) L(X; a, B, Ul, a2) = (27Ta2 n(P+r)/2exp{- -IR(a,

2 B, U1; X) b2},

whereR(a, B, U1; X) is definedby (1.6) and

R 11= (tr[RR])1/2 =
11 [>Pjr X2[R]]1/2
is theclassical Euclidean norm.ApplyingTheorem2.1, togetherwith(2.16) (2.19) and (2.27),
yieldstheinequality

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 "ERRORS IN VARIABLES" REGRESSION 33

L(X; a, B, U1,c2) c L(X; of,B, U1,c2)

(2.32)
( (27ra2)-n(P+r)/2exp{ 2 tr[Dmmin]

whichholds forall X forwhich Gi1and G22are nonsingular,all a, B, U1 and a2. Since the
multivariatenormaldistribution is absolutelycontinuouswithrespectto Lebesgue measure,
it followsfromLemma 2.2 that(2,32) holdswithprobabilityone. Since theclassicalEuclidean
normis strictlymonotonic,it followsfromTheorem2.2 thatd, B, L1}are the unique (with
probabilityone) estimatorsof a, B, U1 thatachieve,the upper bound in (2.32). Finally,it is
well knownthatthe upper bound in (2.32) is uniquelymaximizedas a functionof a2 by 62.
Plugging62 intotheright-hand side of (2.32) yields(2.30). 0

REMARK1. Healy (1975) obtainsMLE's of parametersof a model whichincludes(1.4) as

a special case. His proof,whichis different
thanthatgivenhere,can be used to yielda proof
ofTheorem2.3. However,Healy does notconsidereithertheuniquenessoftheMLE's or their
relation to OLSE's and GLSE's. He also assumes, withoutproof,that Gil and G22are
nonsingular.
REMARK2. In the interceptmodel withp = r = 1, it is well knownthatthe MLE of the
scalar B can be expressedin the form
(2.33) B = -22 sll + [(sll - s22)2 + 4s12]112
2s12

where S = (n - 1)-1 W = ((sj1)) is the sample covariance matrix. That this formula yields the
same resultas (2.7) can be seen by notingthattheeigenvaluesdi and d2of Ware solutionsof
the quadraticequation
0 = d (tr[W])d + I WI = d (n - l)(sll + s22)d + (n - S)2( 22 -12),

so that
(2.34) d (n 1) {sll + S22+ [(s51 + S22)2- 4(s11S22 -12)

Also the scalarsGil = gil and G21= g21satisfy

di (g11 = W gll = (n -l )S(g l11

In particular,sn,gni+ sl2g2l = (n - 1)1 dig11,so that

gg - (n - I)1 di -
g2lgll S12

and, simplifying theexpressionin (2.34), theequalityofg2lgLi1and (2.33) is established.The

relationshipbetween(2.33) and theslope g2igl11of themajor axis (firstprincipalcomponent)
of theprobabilityellipsegeneratedby S was foundindependently by K. Pearsonand C. Gini
(see Moran (1971), page 237). It shouldbe notedthatin contrastto Moran's conjecture(pages
245-246), the solutions(2.7)-(2. 10) of the likelihoodequationsin the case r = p = 1 (and in
generalforall r,all p) do notdefinea saddlepointof thelikelihood,but actuallydo maximize
the likelihood,as shownby Thoerem2.3.

3. Strongconsistency. In this section,strongconsistencypropertiesof &, B and 62 are

discussed.No conditionsare imposedon the distribution of the columnsof E beyondthose
appearingin AssumptionA. In particular,it is notassumedthatthe commondistribution of
thecolumnsofE is multivariatenormal,or even thatthisdistribution is absolutelycontinuous
withrespectto Lebesgue measure.Thus (see theremarkafterTheorem2.2), it is conceivable
that forfixedn, GLl and G2-21withpositiveprobabilitycan fail to exist,making i and A
undefined.Fortunately,foreverysequence X = (xl, X2, *.. ) of observations,exceptperhaps

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34 LEON JAY GLESER

fora collectionof such sequenceshavingprobabilityzero,thereexistsa samplesize n(w)such

thatG71'and G -l existforall n : n(w) (see Lemma 3.3).
In thisand the followingsections,referenceis made to the followingassumptionson the
sequence ul, i = 1,2, ***

ASSUMPTIONB. lim,. n1 U1UI exists.

ASSUMPTIONC. The matrix

(3.1) A = limn,, n1U1CnU,

is positivedefinite.

AssumptionB impliesthatA exists,but not thatA is positivedefinite.AssumptionB also

impliestheexistenceof thefollowingquantities:

(3.2) U= lim,no n'U1ln = ( + (BP i = lim, n1 UUlln,

(3.3) T = ((Tj)) = lim, n UCnU = (P)A(Ip, B').

Let

(3.4) E = 2Ip+r + T = U Ip+r + (B)A(Ip, B').

A and Assumption
LEMMA3.1. Under(1.4), Assumption B,
(3.5) limn,) n 1W = 0, withprobability1 (w.p. 1).

PROOF. From (1.4) and (2.2)

(3.6) n1 W= n'ECnE'+ n 'UCnE'+ n 1ECnU'+ n' UCnU'.

By AssumptionsA and B, (3.3) and the SLLN,
(3.7) lim,. n 1[ECnE' + UCnU'] = 0, w.p. 1.
Thus, (3.5) holds if
(3.8) lim,. n 1UCnE' = 0, w.p. 1.

model,n-1UCnE' = n-1UE', whilein theinterceptmodel

Note thatin theno-intercept

n1 = n_1UE' -ue
UCnEt
where
(3.9) a = n-1Uln, e = n-'Eln.
By AssumptionA, the SLLN and (3.2),
(3.10) limno ii = IL, limn-+ae = 0, w.p. 1.

Thus, undereithermodel,(3.8) holds iflim, n 1UE' = 0, w.p. 1,or equivalentlyif

(3.11) lim,. n1 k Utkeik = 0, w.p. 1, all i,j= 1,2, ***,p + r,
whereU = ((U,k)), E= ((ejk)).
From AssumptionB, the limit of n- k=1 uk exists (n -* oo). Using Abel's partial
summationformula,it can be shownthattheexistenceof thislimitimpliesthat
a2 1 k i2u = 1 k Var(uikejk) < 0.

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 "ERRORS IN VARIABLES" REGRESSION 35

Applyingthecorollaryto Theorem5.4.1 in Chung (1974) establishes(3.11), and thus(3.4). [

REMARK. It followsdirectlyfrom(1.4), (3.9) and (3.10) that

(3.12) limn,. x = limi (yl, X2) =L (B)It+ (0), w.p. 1.

Let y > y2 > * >- -yp-0 be the (ordered) eigenvalues of A(Ip + B'B), and let D, =
diag (yi, y2, ** , yp). Using the fact that the yi's are also eigenvalues of (Ip + B'B)112A[(IP +
B'B)112]' for any square root (Ip +B'B)112 of Ip + B'B, it can be shown that thereexists
4':p x p nonsingularforwhich
(3.13) A(1p + B'B)41 = D-y, 4'(Ip + B'B)4= Ip.

Let r(B) be definedby (2.18). Then

(3.14) E() (B)a(a2p + Dy), r'(B) = r'(B),2g

Hence the (ordered)eigenvalues 1 2 O2 > * * * >6 Op+r > 0 of 0 are

(3.15) 9i=u2+yi, i1,2, .,p; jp+1u2, j12,..r

From (3.13) and (3.14), it followsthattherowsof '(IQp,B') are orthonormal of
eigenvectors
0 corresponding to the largestp eigenvalues 9i, ***, 9p of 0.

LEMMA3.2. ofLemma 4.1,

Undertheassumptions
(3.16) lime n 'D = De = diag(9l, 92, * * *, 9p+r), W.p. 1.

PROOF. The result(3.16) followsfromLemma 3.1, and the factthatthe eigenvaluesd/,

= 1, 2, *- *,p + r of thematrixW are continuousfunctions
of theelementsof W. 0

COROLLARY3.1. Undertheassumptions
ofLemma 3.1,
(3.17) lim,. n lDmmj = U I2 W.p. 1,

and thus
(3.18) limh P1(p + r)62 = a2 W.p.1.

PROOF. The result(3.18) is a directconsequenceof (3.17), whichin turndirectlyfollows

from (3.15) and (3.16). U

In the proofof Lemma 3.3, W = (xl, x2, ...) is a point in the probabilityspace of all
sequencesof observations, n on a samplequantity(e.g., W(n) indicatesthat
and a superscript
thatquantityis calculatedfromthe firstn elementsof w. This notationis discontinuedonce
Lemma 3.3 is provun.

LEMMA3.3. Let (1.4) and Assumptions one,for each w

A, B, and C hold. Withprobability
thereexists n(w), 0 < n(w) < oo, such that Gil) and G22) are nonsingularand h A -

G21(GiPy-l exists,all n n-Qn(o).

In addition,
(3.19) lim,.> B (n)= liMnoo B = B, w.p. 1.

PROOF. Fix X such that(3.5) and (3.16) hold. Note thatsinceeach G(n)is orthogonal,the
sequence G(n)} lies in a compactsubspaceof (p + r)2- dimensionalEuclidean space. Thus,
each subsequenceof { G (n)) has a convergentsub-subsequencewithlimit,say,

H= (Hi, H12\
kH21 H221J

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36 LEON JAY GLESER

Since each G(') is orthogonal,so is H. For all n,

nW ((n)
iF1
) D)))
(n
D ),
(n)
G21 \ G21

and takinglimitsovertheindicesof thesub-subsequenceon bothsides of thisequality,using

(3.5), (3.15), (3.16), yields:

H21 (H21) ( + D).

to thelargestp eigenvaluesof e. Since

Thus (HW1,H21)' is in theeigensubspacecorresponding
AssumptionC impliesthat
P = 2 + > 2 = Op+l,

of H that
thiseigensubspaceis unique. Hence, it followsfrom(3.14) and the orthogonality
thereexistsZ :p x p orthogonalsuch that

(3.20) (H21 - (B)

Note that the limitof (Ginl)(Gil)' over the indices of any convergentsub-subsequenceof
{G (n) } iS

Hi 1H'= 4Zz'i' = = (Ip + B'B)1

as can be seen from(3.20), the fact that Z is orthogonal,and (3.13). Since this limit is
independentof thesub-subsequence,factsabout limitsof sequencesin Euclidean space imply
that
(3.21) limn,. (GiPl)(Gil)' = (Ip + B'B)1.
Using the factthatthe determinant of the limit(Ip + B'B) 1 is positiveand (3.21), it is now
straightforward to showthatthereexistsn(co),0 c n(co)< 00, such thatG(n)is nonsingularfor
all n - n(co),provingthe firstpartof the lemma.Equation (3.19) is establishedby a similar
argument,noting firstthat for all convergentsub-subsequencesof { G) that (Gil)1
eventuallyexists,and thennotingfrom(3.20) thatthe limitof B(n) = G(nl)(G (n))-1 is H21Htl
= B independentof the sub-subsequence.0

COROLLARY 3.2. ofLemma 3.3,

Undertheassumptions

(3.22) limncoo= oa, w.p. 1.

PROOF. For the no-interceptmodel, & = 0 = a and (3.22) triviallyfollows.For the

interceptmodel,(3.22) is a directconsequenceof (2.9), (3.12) and (3.19). 0

In Section4, it is shownthatA, definedby (3.1), helps to determinethecovariancematrix

of the asymptoticdistributionsof n122(A- B) and n1/2(& - a). For purposesof constructing
large-sampleapproximateconfidenceregionsforB and a, it is therefore desirableto finda
consistentsequence of estimatorsforA. Let

A = n-(Ip + B/BY1[(Ip, B')W('iP) - r-(p + r)&2(Ip+ B'B)l(Ip+B'B)1

(3.23) LB/ j
= n-[GiiDmaxG' _ r-1 tr[Dmin]GiiG'i].

The second equalityin (3.23) is a consequenceof (2.5), (2.6), (2.7) and (2.10).

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 "ERRORS IN VARIABLES" REGRESSION 37

LEMMA 3.4. Undertheassumptions

of Lemma 3.3, theestimator/ is a strongly
consistent
estimator
ofA; thatis,

(3.24) limW.A = A, W.P.1.

PROOF. The result(3.24) followsdirectlyfrom(3.4), (3.5), (3.18), (3.19) and (3.23). 0

REMARK 1. From (3.1), it mightbe conjecturedthat

n-1U1 C,,Ul = n-1Gi1DmaxGi1

definesa consistentsequence of estimatorsforA. However,from(3.18), (3.21), (3.23) and

(3.24),

(3.25) lim n-1U1CXU = limn -on1GiiDmaxGii

- + 2(IC + B'B)1, w.p. 1,
so thatthisconjectureis false.

REMARK2. Using (2.5), (2.6), and (2.7), it can be shownthatwhenG2-21

exists,

(B, - Ir)(nlW)(Bj) = (J, + + BB')

BB')'[n 1G22DmimG22](Ir
(3.26)
+ (B - B)[n-1GiiDmaxGii](B - B)'.

Taking limitsas n -m00 in theequality(3.26), using(3.4), (3.5), (3.19) and (3.25), yields

(3.27) limnOn-1G22DmjnG22= C2(Ir + BB')-1, W.P. 1.

4. Asymptotic
distributions.From (3.6), themean of W is

(4.1) &(W) = no Ip+r+ U',

where&(.) is theexpectedvalue operator.Assumethattheconditionsof Lemma 3.3 hold. For
n- n(co),wheren(co)is definedby Lemma 3.3, G 1-exists,and from(2.5), (2.6), (2.7) and (4.1),

(Ip, B')[n S
(W-(W))](B, - I)' = [n-2(B -B)]'(n inG22DmG22)(Ir + BB')
(4.2)
- (Ip + B'B)(n-1GiiDmaxG'i,)[n 12(B - B)]'.

LEMMA 4.1. Ifn-1/2( W-( W)) has an asymptotic

(as n-* oo)distribution,
andAssumptions
A, B, C hold,thentheasymptotic
distributionsofn1/2(B -B) and
(4.3) F= -A-1(I + B'B)-1(Ip, B')[n -12(W- &(W))](B, - Ir)'

are identical.

PROOF. The assertionof Lemma 4.1 is a directconsequenceof (3.19), (3.25), (3.27), and
(4.2). 0
From (2.6), (2.7), (2.10) and (4.1),
+ r)&2_ a2] = tr{G22G22(B,
rn1/2[r-1(p - Ir)[n-112(WJ_- (J(W))](A, - Ir)')
(4.4)
+ tr{G22G22[n1/2(B -B)][n -1 U C U'][B-B]').

LEMMA 4.2. Under the conditionsof Lemma 4.1, the asymptoticdistributionsof

n1/2(r-1(p + r)&2 - a2) and

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38 LEON JAY GLESER

(4.5) v = r-1 tr{(Ir + BB')-'(B, - Ir)[n-12(W -(W))](B, - Ir)')

are identical.

PROOF. From (2.5), (2.7), (3.19) and (3.21),

limn,oG22G22 = limnI (Ir - G21G21)= limn.o(Ir - BGniGl'lB')
(4.6)
= Ir - B(Ip + B'B)-1B' = (Ir + BB')-', W.p.1.
From Lemma 4.1, n1/2(B-B) has an asymptotic distribution.Thus, (3.1) and (4.6) implythat
the second termon the rightside of (4.4) is op(l) as n -- oo.Thus, from(3.19) and (4.6), the
assertionof Lemma 4.2 follows.U

LEMMA 4.3. In theintercept model,assumethatn /2( - ii) and n 1/2(W - &(W)) havean
asymptotic and thatAssumptions
jointdistribution, A, B, C hold.Thentheasymptoticdistributions
ofn 1/2(& - a) and
(4.7) m= (-B, Ir)[n1/2(S - U)]-

are identical,whereF is definedby(4.3).

PROOF. Observe that from (2.9),

(4.8) n1/2(&- a) = (-B, Ir)[n1/2(i - ii)] - [n2(-B)]

The assertionof Lemma 4.3 is now a consequenceof (3.12) and Lemma 4.1. 0

Lemmas 4.1 through4.3 motivateconsiderationof the asymptoticjoint distributionof

n -1/2(W - &(W)) and n 1/2(i - ii). For this asymptotic distributionto exist, it is sufficientthat
thefollowingassumptionholds.
ASSUMPTIOND. Let the random vector e = (el, e2, * , ep+r)' have the common distribution
of the columnsof E. Then theelementsof e have finitefourthmoments: (e,) < oo,i = 1, 2,
...,p + r.

LEMMA 4.4. Let yi, Y2, *** be a sequenceof mutuallyindependent

s-dimensional
random
-1 = VK= V*
vectors,whereyzhas meanvector0 andfinitecovariancematrixV1.If lim .n -l
exists(and isfinite),then
(4.9) n12y n
-1n2 El=, yi-- MVN(O, V*).

PROOF. Considerany linearcombination

c [n y] - n-12 1
(C1y )

of theelementsof n1/2y. By thegiven

lim,.n -1, Eiq Var(c'yi) = c'V *c.

From this result,the independenceof the c'y,'s,Markov's inequality,and Corollary2 and

Theorem4 of Gnedenkoand Kolmogorov(1954), pages 141, 143,it followsthatforall c,
cI(n 1/2y) -y N(0, c'VY*c)
From thislast result,(4.9) directlyfollows.0

Define
(4.10) Zk = eke;k- Ip+r + (Uk t)e + ek(Uk -

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 "ERRORS IN VARIABLES" REGRESSION 39

whereek is the kthcolumnof E, Uk is the kthcolumnof U, and ,u is definedby (3.2); k = 1,

2, -..- The Zk's are independent(butnotidenticallydistributed)
(r +p)-dimensionalsymmetric
randommatrices.
COROLLARY 4.1. UnderAssumptions A, B, and D, theelementsofn Ek=2 1 Zk whichare
on or belowthediagonal,togetherwiththeelementsofn1/2 n-1/2 n i ek,havean asymptotic
1/2(p+ r + 3)(p + r)-variatenormaldistributionwithmeans0 and covariancematrix

z\Vll V12I

definedas follows.Let dijbe theKroneckerdeltaand TI, be definedby (3.3). Then

(i) Vr1= ((vj),(j(i',,j))) givestheasymptotic
covariancebetweenthe(i,j)th and (i', j')th elements
of n l/ zk=1 Zk, i _5 j, i' c5 j';
(4.11) v,ij),(i j,) = &(eiejece,') -_ 48&j81_J' + u2(Tii'8,jj' + Tjj'8ii' + TIJ'38'j+ Ti'j8Ij');

(ii) V12 = (V1,)' givestheasymptotic covariancebetweenthe(i,j)th elementofn-1/2Xkn= Z

and the lth element of n -/2e If V12 = ((V(J)1)) then

(4.12) V*(l)I = &(e, ej el).

(iii) Vr2 = covariancematrixofn1/2e.

UJ2Ip+r is theasymptotic

PROOF. Let ykbe the 1/2(p+ r + 3)(p + r)-dimensionalrandomvectorwhose first'/2(p+

r + l)(p + r) elementsare the elementson and below the diagonal of Zk arranged(say) in
lexicographicorder,and whose last (p + r) elementsare the elementsof ek. The assertionof
Corollary4.1 followsfromAssumptionsA and D, (3.2), (3.3) and Lemma 4.4. [1
Note from(3.6) and (4.1) thatunderthe no-interceptmodel (when Cn = In)
(4.13) n 2(W- W(W)) = n- -n2(EE'
-nu2Ip+r + UE' + EU')
n
-
n-12 , [Zk + lie' + ekIL'];

whileundertheintercept
model (Cn = In- n-llnln)

(4.14) n "2(W- &(W)) =n n 2 k=i Zk + ( - ii)(n2)' + (n"2e)( -

= n12 Zk=1 Zk + op(l),

since,by Corollary4.1, n1/2e-L MVN(O, a2Ip+r) and since,by (3.2), lim .(ii -A) = 0. Since
also n 12(x - ii) = n /2e the following theorem is a direct consequence of (4.13), (4.14) and
Corollary4. 1.

THEOREM4.1. UnderAssumptions A, B, and D, thefollowingresultshold:

model,theelementsofn-1/2(W- &(W)) on or belowthediagonalhave
(i) In theno-intercept
an asymptotic'/2(p + r + l)(p + r)-variatetormal distribution withzero means and with
covariancebetweenthe(i,j)th and (i', j')th elementsgivenby

(4.15) V(i J),(1r ) + A,6f(e1e1'e,) + A,1&(eie,'ej1)

+ ys,6'(ej'eiej) + Hsg'(ee,eje,)

whereIu = (,1u,Ul2, ***p+r)'.

(ii) In the intercept model,the elementsof n-11/2(W- &(W)) on or below the diagonal,
together withtheelementsofn1/2(X - ii), havean asymptotic 1/2(p+ r + 3)(p + r)-variatenormal
distribution with means zero and with covariance matrix V*. Thus,for example,V1* =
((vt j),(i,,j))) gives the asymptoticcovariancesbetweenthe (i, j)th and (i', j')th elementsof
n -1/2(W - &(W)).

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40 LEON JAY GLESER

From Theorem4.1 and Lemmas 4.1 through4.3, the asymptoticdistributions of n -(B-

B) and n 1/2(r-1(p + r)&2 -_a2) in the no-intercept model, and the asymptotic distributions of
1/2 - a) 1/2(- B) and n 1/2(r-1(p + r)&2 - c2) in the intercept model, can be
straightforwardlyobtained.These asymptoticdistributions
are all (multivariate)normalwith
zero means,but thecovariancematricesof thesedistributions
involvethird-order and fourth-
ordercrossmomentsof e, and thusare bothcomplicatedin formand hard to estimatefrom
data. The followingassumptionis therefore
imposedto simplifyresults,and permitconstruc-
tionof large-sampleapproximateconfidenceregionsfortheparametersof themodels.

ASSUMPTION E. The cross-moments of thecommondistribution of thecolumnsof E are

identical,up to and includingmomentsof orderfour,to the correspondingmomentsof the
MVN(O, U2Ip+r)distribution.

THEOREM 4.2. AssumethatAssumptions

A, B, C, and E hold. Underboththeno-intercept
and intercept
models
(i) n11/2(r-1(p+ r)&2 -_ 2) 'L N(O, 2r-l'4);
(ii) theelementsof n1/2(B- B) have an asymptotic normaldistribution
rp-variate withzero
meansand covariancebetweenthe(i,j)th and (i',j')th elements
givenbyCJ2[C2A-1(I + B'B)A-'
+ A-1]jj[Ir + BB']i,,;
(iii) in theinterceptmodel
n1/2 a-a) L MVN(O, p(Ir + BB')),

where
p = u2{1 + 1,L[Cu2A-1(I + B'B)1A1 + A1]U1},

andfurthertheelementsof n /2(- B) and n a/2(&-a) have an asymptoticr(p + 1)-variate

normaldistribution
wheretheasymptotic
covariancebetweenthe(i,j)th elementof n1/2(- B)
and thelthelementofn1/2(& - a) is
a(Ir + B'B) i{[u2A1(Ip + B'B)1A1 + A1]y }

In usingtheabove results,it shouldbe rememberedthatA is definedby (3.1) in a different

fashionin theno-interceptand interceptmodels.

PROOF. AssumptionE impliesAssumptionD. The assertionsof the theoremnow follow

fromLemmas4.1 through4.3,Theorem4.1, and straightforward
calculationofthecovariances.
E
Let X2[1 - v] be the 100(1 - v)thpercentileof the chi-squareddistribution
witht degrees
of freedom.Note that
(4.16) a2 1(Ip + B'B)_ '+A-1 =A 1[ + + B'B) ]A1
is consistently
estimatedby A-1[n-1GujDmaxG1h]1-1,
as can be seen from(3.24) and (3.25).
The followingresultsnow followfromTheorem4.2, (3.12), (3.18) and (3.19).

COROLLARY 4.2. Undertheassumptions of Theorem4.2, and underboththeno-intercept

and intercept
models,a large-sample
approximate100(1 - v)% confidence a 2 is
intervalfor
{(2l a2 _ (nr)-1tr[Dmm,]
| (n3 2r)1tr[Dmm,](22[1-

COROLLARY 4.3. Undertheassumptions of Theorem4.2, and underboththeno-intercept

and intercept
models,a large-sample
approximate100(1 - v)% confidence
regionfortheelements
of B is

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 "ERRORS IN VARIABLES" REGRESSION 41

tB:tr[n(Ir + BB') '(B-B)A(n-f'GiDmaxG,)Y'A(B - B)'] c r-'(p + r),ii2x2[1 -_V,

moreconvenient
whichis equivalentto thefollowingcomputationally region:

tB:tr[(Ir + BB')'(B-B)G,1DM-a (Dmax - tr[r'1Dm]Ip)2G l((.B- B)']

c (rn)-ltr[D h,p [1 - V]}.

COROLLARY 4.4. In the interceptmodel, under the assumptionsof Theorem 4.2 a

regionfor a is
100(1 - v)% confidence
2
ta:n(& - a)'(Ir + BB') a)(& -a) [x_[l -

where

p-(nr)-1tr[Dmin]{l + xiGiiD1.x (Dmax - tr[r-'Dmn]Ip)2GIX-1}.

Theorem4.2 can also be used to constructa large-samplejoint confidenceregionforthe

elementsof a and B in theintercept model;however,forr-easons ofspace,and sincein practice
a and B are usuallystudiedseparately,theformulaforsuch a confidenceregionis omitted.
Because of theirrelativelysimpleform,thelarge-sampleconfidenceregionsof Corollaries
4.2 through4.4 have practicalappeal. However,potentialusers of these regionsshould be
awarethaterrors-in-variables modelsfrequently behavecounterto themaximsoflarge-sample
theorydevelopedforparametrically moreregularmodels.For example,in thecase r = p = I
withAssumptionE strengthened to requiremultivariatenormalityof thecolumnsof theerror
matrixE, Theorem4.2 shows that B (a scalar in thiscase) has finiteasymptoticvariance.
Nevertheless,for any samplesize n (no matterhow large),theexact varianceof B is infinite;
indeed,&(B) is notwell-defined (Anderson(1976)). This factshouldnotdissuadepractitioners
fromconsideringtheuse of theconfidenceregionforB in Corollary4.3, but it would be wise
to be cautiousin assigningan exact confidencevalue to such a region,at least untilanalytic
and/orsimulationstudiesin fixed-sample situationsgivemoreinsightintotheexactproperties
of thatregion.

5. Commentson assumptions. The majorresultsof thispaperrequiretwoassumptionsfor

theirvalidity;
(i) thatA existsand is positivedefinite(AssumptionC).
(ii) thatthecovariancematrix,Se of theerrorsequals U2Ip+r.
It is, of course,open to argumentwhethereitherof theseassumptionscan be even approxi-
matelyvalid in practicalcontexts.
Of theabove twoassumptions,assumption(i) is theeasiesttojustify.First,in econometric
and psychometric applicationsof "errorsin variables" models,it is oftenassumed thatthe
sequence (ul, i = 1,2, ***} is obtainedfromindependentobservationsof a randomvectoru,
havinga distribution of knownform(usuallynormal)witha finitecovariancematrixY2. As
Moran (1971, page 246) remarks,this assumptionconvertsthe model froma functional
equationmodelintoa structural equationmodel,and thuschangesthenatureof thestatistical
problem.Nevertheless, itis worthnotingthatthisassumptionimpliesthatassumption(i) holds
withprobabilityone throughapplicationof the SLLN.
Loosely speaking,assumption(i) requiresthatthe uii observationssample all directionsin
p-dimensionalspace with relativefrequencies(over the sequence (uil, i = 1, 2, * }) of
commensurate magnitude.Certainly,any well-designedclassicalresponsesurfaceexperiment
would requirethattheobservationson thevectorof independentvariableshave thisproperty,

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42 LEON JAY GLESER

and in the presentmodel the uti'splay the role of the vectorof independentvariables.Using
simulationsin thecase p = r = 3, Gleserand Watson(1973) under-sampledone dimensionin
3-dimensionalspace. The resulting estimatesof B bore littleresemblanceto thetruevalue. On
the otherhand, when all dimensionswere nearlyequally sampled,the estimatesof B were
reasonablyaccurateeven in moderatelysmall samples.
Withrespectto assumption(ii), it should be notedthatif the requirement in Assumption
A that 2e = U2Ip+r is replacedby the moregeneralrequirement
(5.1) le= 2 zo, Io known,

then transforming the data xl, i 1, 2, *.-, n to new dataSY1/2xl, i = 1, 2, *--, n,

whereS-1/2 has the form

(5.2) Lo (T21 T22) Tii: p xp,

yieldsa model forthe transformed data of the form(1.4) withcovariancematrixle = U2Ip+r.

If a * and B * are the interceptvectorand slope matrixof thenew model,thentheidentities
(5.3) a* = T22a, B* = T21T71 + T22BT-1,

allow estimatorsfora*, B* based on the transformed data to be convertedto estimatorsfor

a and B. Further,theestimator&2 of a2 based on theoriginaldata is
(5.4) 62 = n-(p + r) xP=+r 1 k[So1 W],
whereXA [1- 1 WI is the ithlargestsingularvalue (in thiscase, eigenvalue)of 1- 1 W.
Thus, thebasic questionthatmustbe asked about thepracticality of usingassumption(ii)
is whetheror not the formof the errorcovariancematrixle can be knownup to a constant
scalar multiple.
In the geophysicalsurveyingproblemmentionedin Gleser and Watson (1973), thereis
some justificationfor this assumption.First,prior experiencewith the errorsinvolved in
measuringthe longitude,latitude,and altitudeof a stake placed on a glaciercan yield the
matrixof correlations Po = lo amongthethreekindsofmeasurement error.By symmetry,one
can arguethattheerrorvariancesin measuringthethreedimensionsare approximately equal
(to a(2). Thus, S(e1lexl)= &(e2,e2') = a2Po. Further,since the firstand second surveysof any
stakeare widelyseparatedin time,theerrorsmade in thesetwosurveysshouldbe independent
of one another.Puttingtheseargumentstogether,

ze= 2QP9O )

In some problems,such as in psychometric testing(Lord (1973)), it may be possible to

obtainmlindependentmeasurements on each xl, i = 1,2, ***,n. In thiscase, le in itsentirety
can be estimatedby the pooled sample covariancematrixS withZ=1 (mi - 1) degreesof
freedom.However,ratherthanuse themethodsofthispaperto analyzethedata in such cases,
it would be advisable to consultthe basic paper by Anderson(1951), where the relevant
maximumlikelihoodtheoryis workedout in full.
Turningback to the originalproblem(whereml = 1, all i), the followingtheoremshows
that unless some fairlystrongassumptionsrelatingEl, = S(eiie'i) to 122 = 6f(e2ie'2,)are
required,the MLE approachcannotbe applied to estimatea, B, U1 and le-

THEOREM 5.1. For themodel(1.4), relax Assumption A to allow 1e to be an unknown(p

+ r) x (p + r) positivedefinite
matrixin a class Ycontainingmatricesof theform
2
(5.5) 0e KI ) = a yo(K)

Then~fthecommondistribution
wherea2, K are unrestricted. of thecolumnsofE is multivariate
normal,thelikelihoodof thedata has an infinite
supremum.

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 "ERRORS IN VARIABLES" REGRESSION 43

PROOF. This theoremgeneralizesa resultof Andersonand Rubin (1956), pages 129-130.

Note firstthatthe supremumof the likelihoodovera, B, U1, and 1e in Sis no less thanthe
supremumof thelikelihoodovera, B, U1and le of theform(5.5). Assumingle has theform
(5.5), fixK, and use thetransformationof the data mentionedat the startof thediscussionof
assumption(ii) along withTheorem2.3 to maximizethe likelihoodL(X; a, B, U1,a2, IC) over
a, B, U1 and a2. This yieldsL(X; &, B, UL, &2 CK)proportionalto
Al
(E ?i:p+ [?(o(Kc))
-
W])-n(p+r)/2

and it is easy to see thatthislast expressiontendsto infinity

whenK - coo.[

REMARK 1. The argumentsin the proofof Theorem 5.1 easily extendto cover cases in
which1e has theform

e
1
(Ki/21 1/2) l/2O ( )
I
2 Ir
1/? c2X2
wherelo can eitherbe fixedor allowed to varyover any class of positivedefinitematrices,
and whereK1, KC2 > 0 are unrestricted.

REMARK 2. In the interceptmodel with r = p = 1 and the columnsof E multivariate

normallydistributed withunknowncovariancematrixle, one can partiallydifferentiate the
likelihoodwithrespectto the parametersand arriveat solvable likelihoodequations. From
Theorem 5.1, it is seen that these equations do not yield MLE's, despiteassertionsto the
Instead,as shownby Solari (1969), thesolutionsto theseequations
contraryin the literature.
providesaddlepointsforthelikelihood.

An even strongerargumentthan Theorem 5.1 againsttryingto fit"errorsin variables"

models in which le iS completelyunrestricted is provided by Nussbaum (1977). For the
interceptmodel with r = p = 1 and the columns of E multivariatenormallydistributed,
Nussbaum shows that lf e is unrestricted, no stronglyconsistent for B can exist.
estimator
Nussbaum'sargumentscan be straightforwardly extendedto the multivariatecase (r,p-1),
bothin theinterceptand no-intercept models.
The above argumentsshouldnot be interpreted as statingthatno modelsof theform(1.4)
in whichle iS of a moregeneralformthan (5.1) can be analyzed.Bhargava(1977) discusses
a model in the case r = p wherele is an unknownblock diagonal matrix,and provesthe
existenceof MLE's of theparametersof thismodel.The workof Andersonand Rubin (1956),
and a considerablerecentliterature,suggeststhat allowingle to be an unknowndiagonal
matrixsubjectto certainrestrictions adoptedin factoranalysis,and regardingthemodel (1.4)
as a factoranalysis model where certainelementsof the matrixL of factorloadings have
specifiedvalues (see Section 1), can lead to consistentmethodsforestimating a and B.
Finally,it should be notedthatthe methodsof analysisof Sections3 and 4 can be used to
studyrobustnessof thelarge-samplepropertiesof &, B and &2 whenle # GJ2Ip+r.In particular,
it should be possible to identifya class of matricesle under which B remainsa strongly
consistent estimatorof B. Some resultsconcerningthisproblemare plannedfora forthcoming
paper.

Acknowledgment.I am indebted to threeanonymousrefereesof this paper for their

carefulreadingof this paper, and forvaluable commentswhich helped me to improveits
organizationand broadenits content.

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DEPARTMENT OF STATISTICS
PURDUE UNIVERSITY
WEST LAFAYETTE, IN 47907

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