On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing
نویسندگان
چکیده
منابع مشابه
On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing
The paper establishes the conditions under which the generalised least squares estimator of the regression parameters is equivalent to the weighted least squares estimator. The equivalence conditions have interesting applications in local polynomial regression and kernel smoothing. Specifically, they enable to derive the optimal kernel associated with a particular covariance structure of the me...
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This paper compares ordinary least squares (OLS), weighted least squares (WLS), and adaptive least squares (ALS) by means of a Monte Carlo study and an application to two empirical data sets. Overall, ALS emerges as the winner: It achieves most or even all of the efficiency gains of WLS over OLS when WLS outperforms OLS, but it only has very limited downside risk compared to OLS when OLS outper...
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ژورنال
عنوان ژورنال: Annals of the Institute of Statistical Mathematics
سال: 2009
ISSN: 0020-3157,1572-9052
DOI: 10.1007/s10463-009-0267-8