Advanced Search
MyIDEAS: Login

Some equivalences in linear estimation (in Russian)

Contents:

Author Info

  • Dmitry Danilov

    (Eindhoven University of Technology, Netherlands)

  • Jan R. Magnus

    (Tilburg University, Netherlands)

Abstract

Under normality, the Bayesian estimation problem, the best linear unbiased estimation problem, and the restricted least-squares problem are all equivalent. As a result we need not compute pseudo-inverses and other complicated functions, which will be impossible for large sparse systems. Instead, by reorganizing the inputs, we can rewrite the system as a new but equivalent system which can be solved by ordinary least-squares methods.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://quantile.ru/03/03-DM.pdf
Download Restriction: no

Bibliographic Info

Article provided by Quantile in its journal Quantile.

Volume (Year): (2007)
Issue (Month): 3 (September)
Pages: 83-90

as in new window
Handle: RePEc:qnt:quantl:y:2007:i:3:p:83-90

Contact details of provider:
Web page: http://quantile.ru/

Related research

Keywords: Linear Bayes estimation; best linear unbiased; least squares; sparse problems; large-scale optimization;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Temel, Tugrul, 2011. "Estimation of a system of national accounts: implementation with mathematica," MPRA Paper 35446, University Library of Munich, Germany.
  2. Danilov, Dmitry & Magnus, Jan R., 2008. "On the estimation of a large sparse Bayesian system: The Snaer program," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4203-4224, May.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:qnt:quantl:y:2007:i:3:p:83-90. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stanislav Anatolyev).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.