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Biometrika 1986 73(3):746-750; doi:10.1093/biomet/73.3.746
© 1986 by Biometrika Trust
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Conservative estimates of the variances of regression parameter estimators for classes of error model

C. A. GLASBEY

AFRC Unit of Statistics, University of Edinburgh Edinburgh EH9 3JZ, U.K.

Robust estimates of precision are obtained for generalized least-squares regression parameter estimators. They are robust in the sense of being conservative estimates of the variances of the parameter estimators when the error model is imprecisely specified. Serially-structured errors are one possible class. Substantial amounts of computing are required in each application. A numerical example is given in which errors are independent but do not necessarily have equal variances and results are compared with those obtained using a weighted jackknife estimator.

Key Words: Generalized least-squares • Heterogeneous variances • Largest eigenvalue problem • Linear program • Robust • Serial correlation • Weighted jackknife


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