Iterative weighted least-squares estimates in a heteroscedastic linear regression model
DOI10.1016/S0378-3758(01)00285-3zbMATH Open1030.62015OpenAlexW2078169557MaRDI QIDQ1869073FDOQ1869073
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
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ReplicationSpherical distributionIterative procedureAsymptotic varianceCommon meanGraybill-Deal estimateHeteroscedastic linear regression
Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12)
Cites Work
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- Consistent Estimates Based on Partially Consistent Observations
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- Iterative weighted least squares estimators
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- Estimation for a linear regression model with unknown diagonal covariance matrix
- Asymptotic distribution of the weighted least squares estimator
- Iterative Weighted Least Squares Estimation in Heteroscedastic Linear Models
- An asymptotic theory for weighted least-squares with weights estimated by replication
- Asymptotic improvement of the graybill-deal estimator
Cited In (5)
- Efficiency of iterated WLS in the linear model with completely unknown heteroskedasticity
- Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
- 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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