Estimation for Linear Models with Unequal Variances.
TEXAS A AND M UNIV COLLEGE STATION
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The problem considered is concerned with a linear model of the form y Xbeta e where y is an n-vector of observed variables X is a full rank n x m matrix of known numbers B is an m-vector of unknown parameters and e is an n-vector of unknown parameters and e is an n-vector of unknown residuals whose independent elements e sub i satisfy Ee sub i 0 Var e sub i Sigma sub iSup 2 Unknown. A special case of particular importance arises when one makes the additional assumption of normal residuals e sub i N0, Sigmasub iSup 2. The problem is to estimate the m-vector beta and the n-vector sigma sup 2 with elements Sigma Sub iSup 2. In the special case when all Sigma Sub iSup 2 are known to be equal the problem is that of classical linear model estimation. Author
- Statistics and Probability