- heteroscedasticity consistent estimator
- состоятельный при гетероскедастичности алгоритм оценивания, алгоритм оценивания Уайта
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heteroscedasticity consistent estimator
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Heteroscedasticity-consistent standard errors — In statistics, a frequent assumption in linear regression is that the disturbances u i have the same variance. When this is not the case, we get heteroskedasticity in the estimated residuals scriptstylewidehat{u i} . Heteroskedasticity consistent … Wikipedia
Heteroscedasticity — In statistics, a sequence or a vector of random variables is heteroskedastic, or heteroscedastic, if the random variables have different variances. The complementary concept is called homoskedasticity. The term means differing variance and comes… … Wikipedia
Newey–West estimator — A Newey–West estimator is used in statistics and econometrics to provide an estimate of the covariance matrix of the parameters of a regression type model when this model is applied in situations where the standard assumptions of regression… … Wikipedia
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Errors-in-variables models — In statistics and econometrics, errors in variables models or measurement errors models are regression models that account for measurement errors in the independent variables. In contrast, standard regression models assume that those regressors… … Wikipedia
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Linear regression — Example of simple linear regression, which has one independent variable In statistics, linear regression is an approach to modeling the relationship between a scalar variable y and one or more explanatory variables denoted X. The case of one… … Wikipedia
Ordinary least squares — This article is about the statistical properties of unweighted linear regression analysis. For more general regression analysis, see regression analysis. For linear regression on a single variable, see simple linear regression. For the… … Wikipedia
Homoscedasticity — Plot with random data showing homoscedasticity. In statistics, a sequence or a vector of random variables is homoscedastic ( … Wikipedia
Feasible generalized least squares — (FGLS or Feasible GLS) is a regression technique. It is similar to generalized least squares except that it uses an estimated variance covariance matrix since the true matrix is not known directly.The following description follows loosely the… … Wikipedia
