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