Efficient estimates in linear and nonlinear regression with heteroscedastic errors

✍ Scribed by Anton Schick

• Publisher: Elsevier Science
• Year: 1997
• Tongue: English
• Weight: 675 KB
• Volume: 58
• Category: Article
• ISSN: 0378-3758
• DOI: 10.1016/s0378-3758(96)00077-8

✦ Synopsis

In this paper we consider the heteroscedastic regression model defined by the structural relation Y = r(V, [:t)+ s(W)c, where V is a p-dimensional random vector, W is a q-dimensional random vector, fi is an unknown vector in some open subset ~ of N", t-is a known function from R p × .~ into R, s is an unknown function on Nq, and c is an unobservable random variable that is independent of the pair (V, W). We construct asymptotically efficient estimates of the regression parameter ,8 under mild assumptions on the functions r and s and on the distributions of c and (V, W).