Accession Number : AD0769398

Title :   Comparison of Estimators of Heteroscedastic Variances in Linear Models.

Descriptive Note : Interim rept.,

Corporate Author : JOHNS HOPKINS UNIV BALTIMORE MD DEPT OF MATHEMATICAL SCIENCES

Personal Author(s) : Horn,Roger A. ; Horn,Susan D.

Report Date : AUG 1973

Pagination or Media Count : 48

Abstract : Three methods for estimating heteroscedastic variances are discussed in the paper: the MINQUE introduced by C. R. Rao, the AUE introduced by Duncan, Horn, and Horn, and the sample variance. Properties of these estimators, including translation invariance, existence, bias, consistency, existence of negative estimates, and mean square error are compared. In particular, it is shown that the AUE has smaller mean square error than either the MINQUE or the sample variance in a wide range of situations. (Author)

Descriptors :   (*Analysis of variance, *Sampling), Regression analysis, Matrices(Mathematics), Mathematical models, Theorems

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE