Generalized Inference for a Class of Linear Models Under Heteroscedasticity |
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| Authors: | Shifeng Xiong Weiyan Mu Xingzhong Xu |
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| Institution: | 1. Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences , Beijing, China xiong@amss.ac.cn;3. Department of Mathematics , Beijing Institute of Technology , Beijing, China |
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| Abstract: | In this article we study inferences for a class of linear models under heteroscedasticity. Using the generalized inference approach, we obtain the generalized p-values of two-sided hypotheses for the multi-dimensional location parameters and one-sided hypotheses for the scale parameters, respectively. Some frequentist properties in small-sample cases and large-sample cases are proven. |
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| Keywords: | Frequency Generalized pivotal Generalized p-value Heteroscedasticity Linear model |
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