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An Improved Estimator of the Variance of the Regression Estimator
Author(s) -
Singh Sarjinder,
Horn Stephen
Publication year - 1999
Publication title -
biometrical journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.108
H-Index - 63
eISSN - 1521-4036
pISSN - 0323-3847
DOI - 10.1002/(sici)1521-4036(199906)41:3<359::aid-bimj359>3.0.co;2-z
Subject(s) - estimator , variance (accounting) , mathematics , minimum variance unbiased estimator , calibration , statistics , linear regression , efficient estimator , bias of an estimator , econometrics , economics , accounting
In this paper, the problem of estimation of variance of the general linear regression estimator has been considered. It has been shown that the first order calibration approach is a special case of the class of estimators proposed by D eng and W u (1987). A second order calibration approach is suggested. Some new estimators are shown to be the special case of the proposed calibration approach. The efficiency of the proposed strategy is shown to improve on the original strategy. An idea to find a non‐negative estimate of variance has been suggested.