Browsing by Subject "Least squares estimation"
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Conference Object
Heteroskedastic linear regression: Steps towards adaptivity, efficiency, and robustness
(Springer New York LLC, 2014)In linear regression with heteroscedastic errors, the Generalized Least Squares (GLS) estimator is optimal, i.e., it is the Best Linear Unbiased Estimator (BLUE). The Ordinary Least Squares (OLS) estimator is suboptimal ...