Abstract
An adaptive estimator is presented by using probability weighted moments as weights rather than conventional estimates of variances for unknown heteroscedastic errors while estimating a heteroscedastic linear regression model. Empirical studies of the data generated by simulations for normal, uniform, and logistically distributed error terms support our proposed estimator to be quite efficient, especially for small samples.
DOI
10.22237/jmasm/1225512840
Included in
Applied Statistics Commons, Social and Behavioral Sciences Commons, Statistical Theory Commons
