Iterative weighted least-squares estimates in a heteroscedastic linear regression model

DOI10.1016/S0378-3758(01)00285-3MaRDI QIDQ1869073zbMATH OpenOpenAlexFDO

Authors Kiyoshi Inoue

Publication date 9 April 2003

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

Full work available at URL https://doi.org/10.1016/s0378-3758(01)00285-3

zbMATH Keywords

ReplicationSpherical distributionIterative procedureAsymptotic varianceCommon meanGraybill-Deal estimateHeteroscedastic linear regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12)

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Cites work

• scientific article; zbMATH DE number 3968787 (Why is no real title available?)
• scientific article; zbMATH DE number 42417 (Why is no real title available?)
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• scientific article; zbMATH DE number 3256930 (Why is no real title available?)
• An asymptotic theory for weighted least-squares with weights estimated by replication
• Asymptotic distribution of the weighted least squares estimator
• Asymptotic improvement of the graybill-deal estimator
• Consistent Estimates Based on Partially Consistent Observations
• Estimation for a linear regression model with unknown diagonal covariance matrix
• Iterative Weighted Least Squares Estimation in Heteroscedastic Linear Models
• Iterative weighted least squares estimators

Cited in

(5)

• Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
• Efficiency of iterated WLS in the linear model with completely unknown heteroskedasticity
• A note on millers's empirical weights for heteroscedastic linear regression
• Improving weighted least-squares estimates in heteroscedastic linear regression when the variance is a function of the mean response
• Iterative weighted semiparametric least squares estimation in repeated measurement partially linear regression models

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