A theorem on the covariance matrix of a generalized least squares estimator under an elliptically symmetric error

DOI10.1007/s00362-009-0199-7zbMath1247.62138OpenAlexW1963543543MaRDI QIDQ451411

Hiroshi Kurata

Publication date: 23 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-009-0199-7

zbMATH Keywords

linear regression modelheteroscedastic model

Mathematics Subject Classification ID

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

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Cites Work

• Double shrinkage estimation of common coefficients in two regression equations with hetersocedasticity
• Generalized Least Squares
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