On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing

DOI10.1007/s10463-009-0267-8zbMath1284.62424MaRDI QIDQ652595

Alessandra Luati, Tommaso Proietti

Publication date: 14 December 2011

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/8910/1/MPRA_paper_8910.pdf

zbMATH Keywords

local polynomial regression; Epanechnikov kernel; non-invertible moving average processes

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

62J02: General nonlinear regression

Related Items

A general approach of least squares estimation and optimal filtering, Comparing the BLUEs Under Two Linear Models

Uses Software

• KernSmooth

Cites Work

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