Iterative weighted least-squares estimates in a heteroscedastic linear regression model

DOI10.1016/S0378-3758(01)00285-3zbMath1030.62015OpenAlexW2078169557MaRDI QIDQ1869073

Kiyoshi Inoue

Publication date: 9 April 2003

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(01)00285-3

zbMATH Keywords

ReplicationSpherical distributionIterative procedureAsymptotic varianceCommon meanGraybill-Deal estimateHeteroscedastic linear regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Cites Work

• Asymptotic distribution of the weighted least squares estimator
• Iterative weighted least squares estimators
• Estimation for a linear regression model with unknown diagonal covariance matrix
• An asymptotic theory for weighted least-squares with weights estimated by replication
• Asymptotic improvement of the graybill-deal estimator
• Iterative Weighted Least Squares Estimation in Heteroscedastic Linear Models
• Consistent Estimates Based on Partially Consistent Observations
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