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December, 1992 Estimating Coefficient Distributions in Random Coefficient Regressions
Rudolf Beran, Peter Hall
Ann. Statist. 20(4): 1970-1984 (December, 1992). DOI: 10.1214/aos/1176348898

Abstract

Random coefficient regression models are important in representing linear models with heteroscedastic errors and in unifying the study of classical fixed effects and random effects linear models. For prediction intervals and for bootstrapping in random coefficient regressions, it is necessary to estimate the distributions of the random coefficients consistently. We show that this is often possible and provide practical representative estimators of these distributions.

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Rudolf Beran. Peter Hall. "Estimating Coefficient Distributions in Random Coefficient Regressions." Ann. Statist. 20 (4) 1970 - 1984, December, 1992. https://doi.org/10.1214/aos/1176348898

Information

Published: December, 1992
First available in Project Euclid: 12 April 2007

zbMATH: 0774.62068
MathSciNet: MR1193321
Digital Object Identifier: 10.1214/aos/1176348898

Subjects:
Primary: 62J05
Secondary: 62G05

Rights: Copyright © 1992 Institute of Mathematical Statistics

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Vol.20 • No. 4 • December, 1992
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