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Exact and approximate REML for heteroscedastic regression
2001
Statistical Modelling
Exact REML for heteroscedastic linear models is compared with a number of approximate REML methods which have been proposed in the literature, especially with the methods proposed by Lee & Nelder (1998) (LN98) and Smyth & Verbyla (1999) (SV99) for simultaneous mean-dispersion modelling in generalized linear models. It is shown that neither of the LN98 or SV99 methods reduces to REML in the normal linear case. Asymptotic variances and efficiencies are obtained for these and other estimators of
doi:10.1191/147108201128140
fatcat:xd7hwoubrrgfxffl2syttjtetu