Robust estimation and variable selection in heteroscedastic linear regression
Sign Up to like & getrecommendations! Published in 2019 at "Statistics"
DOI: 10.1080/02331888.2019.1579215
Abstract: ABSTRACT The paper concerns robust estimation and variable selection in heteroscedastic linear regression models. After a brief review of existing methods for estimation in such models, a robust S-estimation approach is discussed. For all methods… read more here.
Keywords: robust estimation; estimation; estimation variable; heteroscedastic linear ... See more keywords
Bayesian variable selection and coefficient estimation in heteroscedastic linear regression model
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Applied Statistics"
DOI: 10.1080/02664763.2018.1432576
Abstract: ABSTRACT In many real applications, such as econometrics, biological sciences, radio-immunoassay, finance, and medicine, the usual assumption of constant error variance may be unrealistic. Ignoring heteroscedasticity (non-constant error variance), if it is present in the… read more here.
Keywords: estimation; linear regression; selection; regression model ... See more keywords