Heteroscedasticity-robustness of jackknife variance estimators in linear models

DOI10.1214/AOS/1176350610MaRDI QIDQ1106594zbMATH OpenOpenAlexFDO

Authors Jun Shao, C. F. Jeff Wu

Publication date 1987

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176350610

zbMATH Keywords

consistencylinear modelslikelihood ratio teststransition matrixasymptotic unbiasednessfinite Markov chainuniformly optimal. asymptotically optimal testsdelete-1 jackknife variance estimatorerror variance heteroscedasticityexact Bahadur slopeexponential rate of convergence of type II errorsjackknife variance estimatorsmeasures of imbalanceweighted jackknife variance estimators

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited in

(20)

• Asymptotic theory in heteroscedastic nonlinear models
• Hybrid and Size-Corrected Subsampling Methods
• Inference in linear regression models with many covariates and heteroscedasticity
• Jackknifing type weighted least squares estimators in partially linear regression models.
• The asymptotic distribution of the delete-\(d\) jackknife variance estimator for smooth functionals
• One-step jackknife for \(M\)-estimators computed using Newton's method
• Subsample and half-sample methods
• JACKKNIFE TESTS FOR HETEROSCEDASTICITY IN THE GENERAL LINEAR MODEL
• Asymptotic theory in generalized linear models with nuisance scale parameters
• Another look at the jackknife: Further examples of generalized bootstrap
• Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
• Consistency of least-squares estimator and its jackknife variance estimator in nonlinear models
• Central limit theorems for functional Z -estimators with functional nuisance parameters
• Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap
• Resampling estimation when observations are m–dependent
• Robust tests and confidence intervals for error variance in a regression model and for functions of variance components inan unbalanced random one-way model
• Applied regression analysis bibliography update 1988-89
• Some conditions on the design of a regression model
• Jackknifing in partially linear regression models with serially correlated errors
• Conservative confidence ellipsoids for linear model parameters

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