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利用边际似然函数估计异方差AI 解读

Disturbances in the classical linear regression model that do not have constant variances are said to be heteroscedastic. A vector of standardized residuals is defined whose distribution depends only on the parameters that describe the heteroscedasticity in the model. For the normal case this distribution is used to define a marginal likelihood function on which inferences for these parameters can be based. Then conditionally on an estimate of the heteroscedastic parameters,…

基于边际似然函数的异方差估计AI 解读

Disturbances in the classical linear regression model that do not have constant variances are said to be heteroscedastic. A vector of standardized residuals is defined whose distribution depends only on the parameters that describe the heteroscedasticity in the model. For the normal case this distribution is used to define a marginal likelihood function on which inferences for these parameters can be based. Then conditionally on an estimate of the heteroscedastic parameters,…

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