Regression modelEconometrics / time series
稳健加权最小二乘法 (Robust WLS)
Robust WLS 结合了加权最小二乘法（用于纠正已知或估计的异方差性）与稳健 M 估计量（该估计量会降低有影响力的异常值的权重）。其结果是一种回归估计量，它在非恒定误差方差下同时具有效率，并且能够抵抗会扭曲系数估计值的观测值。
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来源
- Huber, P. J. (1981). Robust Statistics. Wiley. ISBN: 978-0471418054
- Greene, W. H. (2018). Econometric Analysis (8th ed.). Pearson. ISBN: 978-0134461366
如何引用本页
ScholarGate. (2026, June 3). Robust Weighted Least Squares. ScholarGate. https://scholargate.app/zh/econometrics/robust-wls
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- 普通最小二乘法 (OLS) 回归计量经济学↔ compare
- 分位数回归计量经济学↔ compare
- 稳健广义最小二乘法 (Robust GLS)计量经济学↔ compare
- 稳健OLS（具有稳健标准误的OLS）计量经济学↔ compare
- 加权最小二乘法 (WLS)统计学↔ compare