Variance of Weighted Regression Estimators when Sampling Errors are Independent and Heteroscedastic
作者:
T.R. Bement,
J.S. Williams,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1969)
卷期:
Volume 64,
issue 328
页码: 1369-1382
ISSN:0162-1459
年代: 1969
DOI:10.1080/01621459.1969.10501063
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
General results are obtained for an approximation to the variance of a weighted regression estimator in which the weights are sample estimators of unknown unpatterned variances. Independent normally distributed errors are specified for the linear response model used in the development. Applications to four examples of weighted sample means and linear regression in a single factor are studied. The most important practical conclusion drawn from the results of these examples is that each estimated weight should be based on at least ten degree of freedom.
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