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Some equivalences in linear estimation (in Russian)

Listed author(s):
  • Dmitry Danilov

    (Eindhoven University of Technology, Netherlands)

  • Jan R. Magnus

    (Tilburg University, Netherlands)

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.

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Article provided by Quantile in its journal Quantile.

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

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Handle: RePEc:qnt:quantl:y:2007:i:3:p:83-90
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