On the variance parameter estimator in general linear models

DOI10.1007/S00184-019-00751-4MaRDI QIDQ2303754zbMATH OpenOpenAlexWikidataFDO

Authors M. Lindholm, Felix Wahl

Publication date 5 March 2020

Published in Metrika (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00184-019-00751-4

zbMATH Keywords

finite sample size boundsgeneral linear modelsmoments of variance parameter estimatorsnon-Gaussian error termsrandom covariatesunconditional bounds

Mathematics Subject Classification ID

Inequalities involving eigenvalues and eigenvectors (15A42) Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Analysis of variance and covariance (ANOVA) (62J10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• scientific article; zbMATH DE number 4126510
• Estimation of a model with random parameters.
• scientific article; zbMATH DE number 3992706
• scientific article; zbMATH DE number 4135240
• scientific article; zbMATH DE number 3850311

Cites work

• A class of autoregressive models for predicting the final claims amount
• A comparison of error variance estimates in nonparametric mixed models
• Advanced linear modeling. Statistical learning and dependent data
• Bounds for eigenvalues using traces
• Estimating the Variance In Nonparametric Regression—What is a Reasonable Choice?
• scientific article; zbMATH DE number 3149413 (Why is no real title available?)
• scientific article; zbMATH DE number 3942782 (Why is no real title available?)
• scientific article; zbMATH DE number 3181550 (Why is no real title available?)
• scientific article; zbMATH DE number 1941665 (Why is no real title available?)
• scientific article; zbMATH DE number 3103824 (Why is no real title available?)
• Minimum variance quadratic unbiased estimation of variance components
• The estimation of residual variance in quadratically balanced least-squares problems and the robustness of the F-test
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)

Cited in

(10)

• Volume and variance in the linear statistical model
• On a general class of long run variance estimators
• scientific article; zbMATH DE number 3885147 (Why is no real title available?)
• scientific article; zbMATH DE number 5548450 (Why is no real title available?)
• scientific article; zbMATH DE number 5568022 (Why is no real title available?)
• Note on the estimation of parameters of the mean and the variance in n-stage linear models
• scientific article; zbMATH DE number 3992706 (Why is no real title available?)
• Generalizing parametric models by introducing trial-by-trial parameter variability: the case of TVA
• On the variance estimator and its bounds in general linear models under linear restrictions
• Determining the mean-variance relationship in generalized linear models -- A parametric robust way

This page was built for publication: On the variance parameter estimator in general linear models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2303754)