Efficient estimates in linear and nonlinear regression with heteroscedastic errors

DOI10.1016/S0378-3758(96)00077-8MaRDI QIDQ1361764zbMATH OpenFDO

Authors Anton Schick

Publication date 22 March 2000

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

semiparametric modelsheteroscedastic regressionefficient influence functionleast dispersed regular estimateslinear and nonlinear regression

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

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• Efficient estimation of regression models with heteroscedastic errors
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Cites work

• scientific article; zbMATH DE number 490141 (Why is no real title available?)
• Adapting for heteroscedasticity in linear models
• Addendum to ``A third-order optimum property of the maximum likelihood estimator
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Asymptotic theory of nonlinear least squares estimation
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Correction to ``A note on the construction of asymptotically linear estimators
• Estimation of heteroscedasticity in regression analysis
• Information and asymptotic efficiency in parametric-nonparametric models
• On adaptive estimation
• On asymptotically efficient estimation in semiparametric models
• On efficient estimation in regression models
• On efficient estimation in regression models with unknown scale functions
• Optimal global rates of convergence for nonparametric regression

Cited in

(12)

• On efficient estimation in regression models with unknown scale functions
• Two-step estimation in a heteroscedastic linear regression model
• scientific article; zbMATH DE number 17214 (Why is no real title available?)
• Semiparametric efficient estimators in heteroscedastic error models
• On asymptotic differentiability of averages.
• Adding regressors to obtain efficiency
• Improving weighted least-squares estimates in heteroscedastic linear regression when the variance is a function of the mean response
• EFFICIENCY OF LINEAR REGRESSION ESTIMATORS BASED ON PRESMOOTHING
• Testing for superiority among two regression curves
• Comparison of operational variants of Best homogeneous and heterogeneous estimators in linear regression
• Linear and nonlinear regression with stable errors
• Efficient estimation of regression models with heteroscedastic errors

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