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Linear completeness in a continuous time Gauss-Markov model

  • Ibarrola, P.
  • Pérez-Palomares, A.
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    In this paper, we study linear completeness in a continuous time linear model. We give a characterization of this property and we show its equivalence with ordinary completeness when a Gaussian process is considered. Furthermore, a characterization of a sufficient and complete estimator in a continuous time Gaussian model is given.

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    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 69 (2004)
    Issue (Month): 2 (August)
    Pages: 143-149

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    Handle: RePEc:eee:stapro:v:69:y:2004:i:2:p:143-149
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    1. Mueller, Jochen, 1987. "Sufficiency and completeness in the linear model," Journal of Multivariate Analysis, Elsevier, vol. 21(2), pages 312-323, April.
    2. Ibarrola, P. & Pérez-Palomares, A., 2003. "Linear sufficiency and linear admissibility in a continuous time Gauss-Markov model," Journal of Multivariate Analysis, Elsevier, vol. 87(2), pages 315-327, November.
    3. Markiewicz, Augustyn, 1996. "Characterization of general ridge estimators," Statistics & Probability Letters, Elsevier, vol. 27(2), pages 145-148, April.
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