Does sequential augmenting of simple linear heteroscedastic regression reduce variances of ordinary least-squares estimators?

DOI10.1080/02331888.2013.800063zbMATH Open1367.62213arXiv1304.2847OpenAlexW2052628385MaRDI QIDQ2934846FDOQ2934846

Brian Jersky, Andrzej S. Kozek

Publication date: 22 December 2014

Published in: Statistics (Search for Journal in Brave)

Abstract: If uncorrelated random variables have a common expected value and decreasing variances then the variance of a sample mean is decreasing with the number of observations. Unfortunately, this natural and desirable Variance Reduction Property (VRP) by augmenting data is not automatically inherited by Ordinary Least Squares (OLS) estimators of parameters. In the paper we find conditions for the OLS to have the VRP. In the case of a straight line regression we show that the OLS estimators of intercept and slope have the VRP if the design points are increasing. This also holds true for alternating two-point experimental designs. The obtained results are useful in the cases where it is known that variances of the subsequent observations are non-increasing, but the ratios of the decrease are not available to use sub-optimal or optimal Weighted Least Squares estimators.

Full work available at URL: https://arxiv.org/abs/1304.2847

zbMATH Keywords

linear regression modelsordinary least squaresvariance reductiondesign of experimentaugmented data

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Design of statistical experiments (62K99)

Cites Work

• Linear Statistical Inference and its Applications
• SOME THEOREMS IN LEAST SQUARES
• Characterization of the exact finite-sample distribution of a routine test statistic for non-nested regressions

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