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Biometrika 1984 71(1):212-215; doi:10.1093/biomet/71.1.212
© 1984 by Biometrika Trust
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MISCELLANEA

Heteroscedastic errors in a linear functional relationship

N. N. CHAN and T. K. MAK

Department of Statistics, Chinese University of Hong Kong Hong Kong
Department of Statistics, University of Hong Kong Hong Kong

SUMMARY

We consider the estimation of structural parameters in a multivariate linear functional relationship when the error variances and covariances are not necessarily homogeneous. Estimators are obtained as roots of a system of nonlinear equations and an iterative algorithm is briefly described for finding numerical solutions of the system. Asymptotic properties of the estimators are studied and in particular an estimate of the asymptotic covariance matrix of the estimators is derived.

Key Words: Asymptotic variance • Generalized maximum likelihood eatimator • Heteroscedastic error • Multivariate linear functional relationship


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