Related papers: Weighted asymmetric least squares regression with …
In the heteroscedastic linear model, the weighted least squares (WLS) estimate of the model coefficients is more efficient than the ordinary least squares (OLS) esti- mate. However, the practical application of WLS is challenging because it…
The paper introduces a new estimation method for the standard linear regression model. The procedure is not driven by the optimisation of any objective function rather, it is a simple weighted average of slopes from observation pairs. The…
High-dimensional data can often display heterogeneity due to heteroscedastic variance or inhomogeneous covariate effects. Penalized quantile and expectile regression methods offer useful tools to detect heteroscedasticity in…
We propose an adversarial evaluation framework for sensitive feature inference based on minimum mean-squared error (MMSE) estimation with a finite sample size and linear predictive models. Our approach establishes theoretical lower bounds…
Penalized likelihood and quasi-likelihood methods dominate inference in high-dimensional linear mixed-effects models. Sampling-based Bayesian inference is less explored due to the computational bottlenecks introduced by the random effects…
Heteroscedastic regression models a Gaussian variable's mean and variance as a function of covariates. Parametric methods that employ neural networks for these parameter maps can capture complex relationships in the data. Yet, optimizing…
We provide new results showing identification of a large class of fixed-T panel models, where the response variable is an unknown, weakly monotone, time-varying transformation of a latent linear index of fixed effects, regressors, and an…
As a growing number of problems involve variables that are random objects, the development of models for such data has become increasingly important. This paper introduces a novel varying-coefficient Fr\'echet regression model that extends…
We analyze linear panel regression models with interactive fixed effects and predetermined regressors, for example lagged-dependent variables. The first-order asymptotic theory of the least squares (LS) estimator of the regression…
Classical least squares estimators are well-known to be robust with respect to moment assumptions concerning the error distribution in a wide variety of finite-dimensional statistical problems; generally only a second moment assumption is…
The problem of modeling the relationship between univariate distributions and one or more explanatory variables has found increasing interest. Traditional functional data methods cannot be applied directly to distributional data because of…
This paper studies the estimation of the coefficient matrix $\Ttheta$ in multivariate regression with hidden variables, $Y = (\Ttheta)^TX + (B^*)^TZ + E$, where $Y$ is a $m$-dimensional response vector, $X$ is a $p$-dimensional vector of…
Panel data models with unobserved heterogeneity in the form of interactive effects standardly assume that the time effects -- or ``common factors'' -- enter linearly. This assumption is restrictive because it concerns an unobserved…
Analyzing data from multiple sources offers valuable opportunities to improve the estimation efficiency of causal estimands. However, this analysis also poses many challenges due to population heterogeneity and data privacy constraints.…
We study linear panel regression models in which the unobserved error term is an unknown smooth function of two-way unobserved fixed effects. In standard additive or interactive fixed effect models the individual specific and time specific…
We consider the linear regression problem under semi-supervised settings wherein the available data typically consists of: (i) a small or moderate sized 'labeled' data, and (ii) a much larger sized 'unlabeled' data. Such data arises…
This paper provides a new methodology to analyze unobserved heterogeneity when observed characteristics are modeled nonlinearly. The proposed model builds on varying random coefficients (VRC) that are determined by nonlinear functions of…
According to Davey et al. (2011) with a total of 22,453 meta-analyses from the January 2008 Issue of the Cochrane Database of Systematic Reviews, the median number of studies included in each meta-analysis is only three. In other words,…
Irregular errors such as heteroscedasticity and nonnormality remain major challenges in linear modeling. These issues often lead to biased inference and unreliable measures of uncertainty. Classical remedies, such as robust standard errors…
Streaming data often exhibit heterogeneity due to heteroscedastic variances or inhomogeneous covariate effects. Online renewable quantile and expectile regression methods provide valuable tools for detecting such heteroscedasticity by…