Estimation of Heteroscedasticity in Regression Analysis
نویسندگان
چکیده
منابع مشابه
Semiparametric modeling and estimation of heteroscedasticity in regression analysis of cross-sectional data
Abstract: We consider the problem of modeling heteroscedasticity in semiparametric regression analysis of cross-sectional data. Existing work in this setting is rather limited and mostly adopts a fully nonparametric variance structure. This approach is hampered by curse of dimensionality in practical applications. Moreover, the corresponding asymptotic theory is largely restricted to estimators...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1987
ISSN: 0090-5364
DOI: 10.1214/aos/1176350364