Ordinary and weighted least-squares estimators

DOI10.2307/3315839zbMath0725.62061OpenAlexW2076179045MaRDI QIDQ5203517

Jun Shao

Publication date: 1990

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315839

zbMATH Keywords

adaptive estimatorasymptotic relative efficiencyheteroscedastic linear regression modelweighted least-squares estimatorordinary least-squares estimatorsquared residualsrandom regressor

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

Related Items

Applied regression analysis bibliography update 1990-91, An asymptotic theory for semiparametric generalized least squares estimation in partially linear regression models, Jackknifing type weighted least squares estimators in partially linear regression models.

Cites Work

• Asymptotic distribution of the weighted least squares estimator
• Adapting for heteroscedasticity in linear models
• Bootstrapping regression models
• Estimation for a linear regression model with unknown diagonal covariance matrix
• An asymptotic theory for weighted least-squares with weights estimated by replication
• Estimating Heteroscedastic Variances in Linear Models