Sankhya: The Indian Journal of Statistics

1998, Volume 60, Series B, Pt. 3, 433--436

A NEW COVARIANCE ESTIMATOR IN RANDOM COEFFICIENT REGRESSION MODEL

By

NESAN CHELLIAH Griffith University, Brisbane

SUMMARY. A new method is given to obtain an estimator for the covariance matrix of the response variable in a linear regression model. This method gives positive variance components and offers a mechanism for improving the performance of the weighted least squares estimator of the regression parameters.

AMS (1991) subject classification.62F10.

Key words and phrases. Residual type statistics, random coeficient.

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