heteroskedastic

• If you use the White correction to least squares, it's a very restrictive form of GLS which assumes the noise is uncorrelated (although heteroskedastic), so the variance-covariance matrix is not the identity matrix but is still diagonal. —  RealClimate
• Newey-West (as referenced in Stata) isn't GLS at all; it's a correction to the standard errors for autocorrelated / heteroskedastic noise when using —  RealClimate
• Beyond theoretical results, a simulation study is reported and an application on real data is provided. acknowledgent additive_model algorithm aos applications approximate_bayesian_computation arxiv asymptotics bayes bioinformatics biometrics biometrika biostatistics bmc_bioinformatics bradley-terry calibration challenge change_points classification climate clustering cnv computer_models consistency context_tree contingency_table convergence copula cross_validation csda dantzig datasets dempster_shafer density_estimation deviance diagnostics dic dirichlet_process distance_metric distribution_theory dna dynamic_linear_model e_m_algorithm emulation evidence experimental_design factor_analysis farthingale fisher_information forecasting gam gaussian_process genetic_algorithm genomics geometry geophysics geophysics_journal geophys_jnl_int geophys_res_let gibbs_sampling glm glmm graphical_models graphics gravity heteroskedastic high_dimensionality history_of_statistics hmm ieee importance_sampling imprecise_probability indirect_inference intractable inverse_problem inverse_problems inversion isr jasa jcgs jeffreys joint_inversion journal_of_chemical_physics jrssb jspi kalman_filter kde kernel lasso latin_hypercube leading_edge likelihood_free linear_model log_linear_model machine_learning magnetotelluric marginal_likelihood markov_model matrix_normal maximum_likelihood mcmc misc mitochondrial mixtures model_averaging model_criticism model_selection monte_carlo multi_modal multiple_chains multiple_testing multivariate_data multivariate_normal nar nearest_neighbour nested_sampling network nonlinear_regression nonparametrics ode operations_research order_estimation parallel parameter_estimation parameter_identifiability particle_filter pca physics pmc pnas poisson prediction predidiction prequential probability quasi_likelihood r regression regularisation resistivity reversible_jump review rock_properties scad science sde segmentation seismic sensitivity_analysis sequential sequential_monte_carlo sieve simulated_tempering simulation smoothing sparsity spline sport statistical_modelling_journal statistical_science statistics stat_meth stats_and_computing stochastic_processes stochastic_volatility sysbio tas time_series tree unit_interval variable_selection vlmc voronoi CiteULike organises scholarly (or academic) papers or literature and provides bibliographic (which means it makes bibliographies) for universities and higher education establishments. —  CiteULike: Everyone's library

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