Simultaneous Estimation in a Restricted Linear Model
AbstractWe consider a linear normal modelY=X[theta]+ewith[theta]verifying a linear restriction and the standard estimators [theta](unrestricted MLE) and[theta]* (restricted MLE). We prove that[theta]* is preferable to [theta]using a new and strong criterion which implies the domination under other usual criteria; in particular it is proven that the standard simultaneous confidence intervals centered at[theta]* have more confidence than those centered at [theta].
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 61 (1997)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Iwasa, Manabu & Moritani, Yoshiya, 2002. "Concentration Probabilities for Restricted and Unrestricted MLEs," Journal of Multivariate Analysis, Elsevier, vol. 80(1), pages 58-66, January.
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