Iterative Weighted Least Squares Estimation in Heteroscedastic Linear Models
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Publication:4694183
DOI10.2307/2290712zbMath0772.62038MaRDI QIDQ4694183
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
robustness; empirical Bayes; variance estimate; heteroscedastic linear models; inverse gamma model; asymptotically optimal weight function; average squared residual; iterative weighted least squares estimation
62J05: Linear regression; mixed models
62C12: Empirical decision procedures; empirical Bayes procedures
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