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Tagged with irls heteroscedasticity
4 questions
5
votes
1
answer
135
views
Heteroscedasticity that depends on the regression parameters
Consider a vector of observations $\mathbf{Y}$ that can be modeled as
\begin{equation}
\mathbf{Y} \sim \mathcal{N}( \mathbf{H}\boldsymbol{\beta} , \boldsymbol{\Sigma} )
\end{equation}
with $\mathbf{...
- 51
1
vote
0
answers
2k
views
Iterative reweighted least squares versus MLE for heteroscedastic errors
Iterative reweighted least squares (IRLS) is used when errors are heteroscedastic. Let us assume that error comes from a distribution where its mean is zero and the variance is a function of the ...
2
votes
1
answer
2k
views
Difference between robust regression and weighted regression
In stata, robust regression (rreg) uses weights proportional to the size of the residuals. Is this conceptually the same as weighted OLS (weight by 1/variance)? And both can be applied, for example, ...
- 1,333
0
votes
0
answers
717
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Fitting heteroscedastic models using the `gls` function
Consider the following heteroscedastic model:
$$y_i = f(x_i, \beta) + g(x_i, \theta)\varepsilon_i, i = 1, \ldots, n, \tag{1}$$
where $f(\cdot, \beta)$ is the regression function and $g(\cdot, \theta)$
...
- 21.2k