Weighted least squares estimation by multivariate-dependent weights for linear regression models
线性回归中依赖多个解释变量的加权最小二乘估计
Multivariate linear regression models often face the problem of heteroscedasticity caused by multiple explanatory variables. The weighted least squares estimation with univariate-dependent weights has limitations in constructing weight functions. Therefore, this paper proposes a multivariate dependent weighted least squares estimation method. By constructing a linear combination of explanatory variables and maximizing their Spearman rank correlation coefficient with the…