Obtaining Heteroscedastic regression coefficients and their properties

16 views (last 30 days)
the picture attaches shows the normal regression line results using the fitlm :estimates of the regression coefficients, the Standard error of the coefficients SE, the tstat and the p value corresponding to the tstat value.
Now im trying to get the same parameters using Heteroscedastic linear regression, ive managed to calculate the estimates of the regression coefficients but im struggling with the errors, any help with any of the parameters will be greatly appreciated

Accepted Answer

Ahmed Abdulla
Ahmed Abdulla on 10 Jun 2020
i managed to figure it out SE = diag(sqrt(E)) where E is the variance-covariance matrix

More Answers (0)




Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by