Adaptive Estimation of Heteroscedastic Linear Regression Model Using Probability Weighted Moments

被引：0

作者：

Muhammad, Faqir ^{[1
]}

Aslam, Muhammad ^{[2
]}

Pasha, G. R. ^{[2
]}

机构：

[1] Allama Iqbal Open Univ, Dept Math & Stat, Islamabad, Pakistan

[2] Bahauddin Zakariya Univ, Dept Stat, Multan, Pakistan

来源：

JOURNAL OF MODERN APPLIED STATISTICAL METHODS | 2008年 / 7卷 / 02期

关键词：

Adaptive estimator; estimated weighted least squares; heteroscedasticity; probability weighted moments;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

An adaptive estimator is presented by using probability weighted moments as weights rather than conventional estimates of variances for unknown heteroscedastic errors while estimating a heteroscedastic linear regression model. Empirical studies of the data generated by simulations for normal, uniform, and logistically distributed error terms support our proposed estimator to be quite efficient, especially for small samples.

引用

页码：501 / 505

页数：5

共 50 条

[31] WEIGHTED LEAST-SQUARES ESTIMATION OF THE LINEAR PROBABILITY MODEL, REVISITED
MULLAHY, J
[J]. ECONOMICS LETTERS, 1990, 32 (01) : 35 - 41
[32] A robust, adaptive M-estimator for pointwise estimation in heteroscedastic regression
Chichignoud, Michael
Lederer, Johannes
[J]. BERNOULLI, 2014, 20 (03) : 1560 - 1599
[33] Estimation of the Lognormal-Pareto Distribution Using Probability Weighted Moments and Maximum Likelihood
Bee, Marco
[J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2015, 44 (08) : 2040 - 2060
[34] Adaptive Estimation of Heteroscedastic Money Demand Model of Pakistan
Aslam, Muhammad
Pasha, G. R.
[J]. PAKISTAN JOURNAL OF STATISTICS AND OPERATION RESEARCH, 2007, 3 (02) : 109 - 115
[35] Robust estimation and variable selection in heteroscedastic regression model using least favorable distribution
Guney, Yesim
Tuac, Yetkin
Ozdemir, Senay
Arslan, Olcay
[J]. COMPUTATIONAL STATISTICS, 2021, 36 (02) : 805 - 827
[36] Robust estimation and variable selection in heteroscedastic regression model using least favorable distribution
Yeşim Güney
Yetkin Tuaç
Şenay Özdemir
Olcay Arslan
[J]. Computational Statistics, 2021, 36 : 805 - 827
[37] Statistical estimation for heteroscedastic semiparametric regression model with random errors
Ding, Liwang
Chen, Ping
[J]. JOURNAL OF NONPARAMETRIC STATISTICS, 2020, 32 (04) : 940 - 969
[38] ITERATIVE WEIGHTED LEAST-SQUARES ESTIMATION IN HETEROSCEDASTIC LINEAR-MODELS
HOOPER, PM
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1993, 88 (421) : 179 - 184
[39] Robust Weighted Least Squares Estimation of Regression Parameter in the Presence of Outliers and Heteroscedastic Errors
Rasheed, Bello Abdulkadir
Adnan, Robiah
Saffari, Seyed Ehsan
Pati, Kafi dano
[J]. JURNAL TEKNOLOGI, 2014, 71 (01):
[40] UNBIASED ESTIMATION OF PROBABILITY WEIGHTED MOMENTS AND PARTIAL PROBABILITY WEIGHTED MOMENTS FROM SYSTEMATIC AND HISTORICAL FLOOD INFORMATION AND THEIR APPLICATION TO ESTIMATING THE GEV DISTRIBUTION
WANG, QJ
[J]. JOURNAL OF HYDROLOGY, 1990, 120 (1-4) : 115 - 124

← 1 2 3 4 5 →