Loading...
Please wait, while we are loading the content...
Similar Documents
An asymptotic theory for weighted least-squares with weights estimated by replication
| Content Provider | Semantic Scholar |
|---|---|
| Author | Carroll, Raymond J. Cline, Daren B. H. |
| Copyright Year | 1988 |
| Abstract | SUMMARY We consider a heteroscedastic linear regression model with replication. To estimate the variances, one can use the sample variances or the sample average squared errors from a regression fit. We study the large-sample properties of these weighted least-squares estimates with estimated weights when the number of replicates is small. The estimates are generally inconsistent for asymmetrically distributed data. If sample variances are used based on m replicates, the weighted least-squares estimates are inconsistent for m =2 replicates even when the data are normally distributed. With between 3 and 5 replicates, the rates of convergence are slower than the usual square root of N. With m - 6 replicates, the effect of estimating the weights is to increase variances by (m - 5)/(m -3), relative to weighted least-squares estimates with known weights. |
| Starting Page | 35 |
| Ending Page | 43 |
| Page Count | 9 |
| File Format | PDF HTM / HTML |
| DOI | 10.1093/biomet/75.1.35 |
| Volume Number | 75 |
| Alternate Webpage(s) | http://www.stat.tamu.edu/~dcline/Papers/weightedleastsquares.pdf |
| Alternate Webpage(s) | https://doi.org/10.1093/biomet%2F75.1.35 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
