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Quantile inference for heteroscedastic regression models

โœ Scribed by Ngai Hang Chan; Rong-Mao Zhang


Book ID
108193526
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
255 KB
Volume
141
Category
Article
ISSN
0378-3758

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The maximum likelihood estimation in a regression model with heteroscedastic errors is considered. When the design matrices in the model are inappropriately specified, the maximum likelihood estimates of the variances of certain observations are found to be zero irrespective of the observed values,