Second-order expansion of mean squared error matrix of generalized least squares estimator with estimated parameters

DOI10.1093/BIOMET/69.1.269zbMATH Open0483.62078OpenAlexW2040349790MaRDI QIDQ3942263FDOQ3942263

Authors: Yasuyuki Toyooka 

Publication date: 1982

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/69.1.269

zbMATH Keywords

linear modelautoregressive process

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (3)

• Second-order risk comparison of SLSE with GLSE and MLE in a regression with serial correlation
• Effects of the estimation of covariance matrix parameters in the generalized multivariate linear model
• Errate of Kariya and Toyooka (1992), Bounds for normal approximations to the distributions of generalized least squares predictors and estimators

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