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

DOI10.1007/s10463-009-0267-8zbMath1284.62424OpenAlexW2233009556MaRDI 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 regressionEpanechnikov kernelnon-invertible moving average processes

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) General nonlinear regression (62J02)

Related Items

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

Uses Software

• KernSmooth

Cites Work

• Smooth optimum kernel estimators of densities, regression curves and modes
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• Seasonal adjustment with the X-11 method
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