Estimation of the Variance Function in Heteroscedastic Linear Regression Models

DOI10.1080/03610920802374061MaRDI QIDQ3631435zbMATH OpenOpenAlexFDO

Authors Si-Lian Shen, Chang-Lin Mei

Publication date 9 June 2009

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL http://www.informaworld.com/smpp/./content~db=all~content=a909714835

zbMATH Keywords

generalized least-squaresnonparametric regression modelheteroscedastic linear regression modelvariance-reduced local linear smoothing technique

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12)

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Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 47282 (Why is no real title available?)
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• Choosing a kernel regression estimator. With comments and a rejoinder by the authors
• Correcting Inhomogeneity of Variance with Power Transformation Weighting
• Design-adaptive Nonparametric Regression
• Estimation for a linear regression model with unknown diagonal covariance matrix
• Local Polynomial Kernel Regression for Generalized Linear Models and Quasi-Likelihood Functions
• Local Polynomial Variance-Function Estimation
• Local linear regression smoothers and their minimax efficiencies
• Multivariate locally weighted least squares regression
• Nonparametric smoothing and lack-of-fit tests
• Nonparametrically Weighted Least Squares Estimation in Heteroscedastic Linear Regression
• Robust estimation in heteroscedastic linear models
• Simple and efficient improvements of multivariate local linear regression
• Using residuals robustly I: Tests for heteroscedasticity, nonlinearity
• Variance Function Estimation
• Variance Reduction in Multiparameter Likelihood Models

Cited in

(16)

• A new nonparametric estimation method of the variance in a heteroscedastic model
• Variance estimates and hypothesis tests in least absolute value regression
• scientific article; zbMATH DE number 6933375 (Why is no real title available?)
• An alternative method correcting BDR type of heteroskedasticity by the weighting re-estimated absolute residuals
• Two-stage variational mode decomposition approach to enhance the estimates of variance function
• Parameter estimation in linear models with heteroscedastic variances subject to order restrictions
• scientific article; zbMATH DE number 4100415 (Why is no real title available?)
• A new method of estimating the variance in heteroscedastic model
• Improving weighted least-squares estimates in heteroscedastic linear regression when the variance is a function of the mean response
• scientific article; zbMATH DE number 3994802 (Why is no real title available?)
• Heteroscedasticity detection and estimation with quantile difference method
• Variance estimation in heteroscedastic models by undecimated Haar transform
• A wavelet-based hybrid approach to estimate variance function in heteroscedastic regression models
• scientific article; zbMATH DE number 3860210 (Why is no real title available?)
• Minimum distance conditional variance function checking in heteroscedastic regression models
• scientific article; zbMATH DE number 426238 (Why is no real title available?)

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