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Social and Behavioral Sciences Commons

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Physical Sciences and Mathematics

Journal of Modern Applied Statistical Methods

Heteroscedasticity

2008

Articles 1 - 2 of 2

Full-Text Articles in Social and Behavioral Sciences

Adaptive Estimation Of Heteroscedastic Linear Regression Model Using Probability Weighted Moments, Faqir Muhammad, Muhammad Aslam, G.R. Pasha Nov 2008

Adaptive Estimation Of Heteroscedastic Linear Regression Model Using Probability Weighted Moments, Faqir Muhammad, Muhammad Aslam, G.R. Pasha

Journal of Modern Applied Statistical Methods

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.


Least Squares Percentage Regression, Chris Tofallis Nov 2008

Least Squares Percentage Regression, Chris Tofallis

Journal of Modern Applied Statistical Methods

In prediction, the percentage error is often felt to be more meaningful than the absolute error. We therefore extend the method of least squares to deal with percentage errors, for both simple and multiple regression. Exact expressions are derived for the coefficients, and we show how such models can be estimated using standard software. When the relative error is normally distributed, least squares percentage regression is shown to provide maximum likelihood estimates. The multiplicative error model is linked to least squares percentage regression in the same way that the standard additive error model is linked to ordinary least squares regression.