Estimating large-scale general linear and seemingly unrelated regressions models after deleting observations

DOI10.1007/s11222-016-9626-5zbMath1505.62174OpenAlexW2183512838MaRDI QIDQ518238

Stella Hadjiantoni, Erricos John Kontoghiorghes

Publication date: 28 March 2017

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/29081/1/DowndatingGLM_RISupload.pdf

zbMATH Keywords

updatinggeneralized least squaresseemingly unrelated regressionssingular dispersion matrixdowndating

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Linear regression; mixed models (62J05) Diagnostics, and linear inference and regression (62J20)

Related Items

A recursive three-stage least squares method for large-scale systems of simultaneous equations ⋮ Numerical strategies for recursive least squares solutions to the matrix equation AX = B ⋮ Covariance matrix estimation in a seemingly unrelated regression model under Stein's loss

Uses Software

• LAPACK
• ScaLAPACK

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