Iterative Weighted Least Squares Estimation in Heteroscedastic Linear Models

DOI10.2307/2290712zbMath0772.62038OpenAlexW4232615038MaRDI QIDQ4694183

Peter M. Hooper

Publication date: 11 October 1993

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2290712

zbMATH Keywords

robustnessempirical Bayesvariance estimateheteroscedastic linear modelsinverse gamma modelasymptotically optimal weight functionaverage squared residualiterative weighted least squares estimation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (4)

Iterative weighted semiparametric least squares estimation in repeated measurement partially linear regression models ⋮ Designs for weighted least squares regression, with estimated weights ⋮ A flexible approach to Bayesian multiple curve fitting ⋮ Iterative weighted least-squares estimates in a heteroscedastic linear regression model

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