Variable Selection for Heteroscedastic Data Through Variance Estimation

DOI10.1081/SAC-200068357MaRDI QIDQ5697364zbMATH OpenFDO

Authors Songjoon Baek, Filiz Karaman, Hongshik Ahn

Publication date 17 October 2005

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

zbMATH Keywords

experimental designregressionvariance estimationhomoscedasticityAkaike information criterionMallows' \(C_{p}\)

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Sequential statistical analysis (62L10)

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• Estimation and variable selection for a heteroscedastic regression model
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Cites work

• scientific article; zbMATH DE number 1156422 (Why is no real title available?)
• A Biometrics Invited Paper. The Analysis and Selection of Variables in Linear Regression
• A Note on the C p Statistic
• A comparison of tests of equality of variances
• A new look at the statistical model identification
• Applied Regression Analysis
• Bootstrap Methods for Testing Homogeneity of Variances
• Properties of sufficiency and statistical tests
• Selection of Regressors
• Some Comments on C P

Cited in

(7)

• Estimation and variable selection for a heteroscedastic regression model
• Bayesian variable selection and coefficient estimation in heteroscedastic linear regression model
• Robust estimation and variable selection in heteroscedastic regression model using least favorable distribution
• Mallows criterion for heteroskedastic linear regressions with many regressors
• Heteroscedastic linear models for analysing process data
• High-dimensional heteroscedastic regression with an application to eQTL data analysis
• Simultaneous variable selection for heteroscedastic regression models

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