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Second-order efficiency in the estimation of heteroscedastic regression models. (English) Zbl 0571.62033

This is a survey paper, discussing the second-order optimality of the maximum likelihood method for the estimation of regression coefficients. It discusses some special cases and examples, but does not contain any new results.
Reviewer: H.Strasser

MSC:

62G05 Nonparametric estimation
62G20 Asymptotic properties of nonparametric inference
62J99 Linear inference, regression
62F12 Asymptotic properties of parametric estimators
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