We study the problem of estimating a parameter in some heteroscedastic linear regression model in the case where the regressors consist of all order statistics based on the sample of identically distributed not necessarily independent observations with finite second moment. It is assumed that the random errors depend on the parameter and distributions of the corresponding regressors. We propose a two-step procedure for finding explicit asymptotically normal estimators.
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Translated from Sibirskii Zhurnal Chistoi i Prikladnoi Matematiki 17, No. 2, 2017, pp. 39-51.
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Linke, Y.Y. Two-Step Estimation in a Heteroscedastic Linear Regression Model. J Math Sci 231, 206–217 (2018). https://doi.org/10.1007/s10958-018-3816-y
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DOI: https://doi.org/10.1007/s10958-018-3816-y