Abstract:In the present note we consider general linear models where the covariates may be both random and non-random, and where the only restrictions on the error terms are that they are independent and have finite fourth moments. For this class of models we analyse the variance parameter estimator. In particular we obtain finite sample size bounds for the variance of the variance parameter estimator which are independent of covariate information regardless of whether the covariates are random or not. For the case wit… Show more
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