Estimation of regression coefficients of interest when other regression coefficients are of no interest: the case of non-normal errors

DOI10.1016/J.SPL.2006.11.019MaRDI QIDQ997251zbMATH OpenOpenAlexFDO

Authors Alan T. K. Wan, Xiaoyong Wu, Ti Chen, Guohua Zou

Publication date 23 July 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2006.11.019

zbMATH Keywords

weighted estimatorsasymptotic risknon-normal errors

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12)

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Cited in

(6)

• Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances
• Shrinkage estimation in general linear models
• On the sensitivity of pre-test estimators to covariance misspecification
• On weighted estimation in linear regression in the presence of parameter uncertainty
• Frequentist model averaging estimation: a review
• Weighted-average least squares estimation of generalized linear models

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