Iterative Weighted Least Squares Estimation in Heteroscedastic Linear Models

DOI10.2307/2290712MaRDI QIDQ4694183zbMATH OpenOpenAlexFDO

Authors Peter M. Hooper

Publication date 11 October 1993

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2290712

zbMATH Keywords

asymptotically optimal weight functionaverage squared residualempirical Bayesheteroscedastic linear modelsinverse gamma modeliterative weighted least squares estimationrobustnessvariance estimate

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Linear regression; mixed models (62J05)

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(12)

• A flexible approach to Bayesian multiple curve fitting
• Improving weighted least-squares estimates in heteroscedastic linear regression when the variance is a function of the mean response
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• Iterative weighted semiparametric least squares estimation in repeated measurement partially linear regression models
• Efficiency of iterated WLS in the linear model with completely unknown heteroskedasticity
• A note on millers's empirical weights for heteroscedastic linear regression
• Iterated weighted least squares in heteroscedastic lineaipmod%81è
• Statistical analysis of multi-day solar irradiance using a threshold time series model
• A review and comparison of methods of parameter estimation and inference for heteroskedastic linear regression models
• Iterative weighted least squares estimators
• Designs for weighted least squares regression, with estimated weights
• Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market

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