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Determination of Accuracy of Estimation of Regression Parameters Under Inequality Constraints

In: Regression Analysis Under A Priori Parameter Restrictions

Author

Listed:
  • Pavel S. Knopov

    (National Academy of Science of Ukraine)

  • Arnold S. Korkhin

    (National Mining University)

Abstract

This chapter is devoted to the accuracy of estimation of regression parameters under inequality constraints. In Sects. 4.2 and 4.3 we construct the truncated estimate of the matrix of m.s.e. of the estimate of multi-dimensional regression parameter. In such a construction inactive constraints are not taken into account. Another approach (which takes into account all constraints) is considered in Sects.4.4 4.7.

Suggested Citation

  • Pavel S. Knopov & Arnold S. Korkhin, 2012. "Determination of Accuracy of Estimation of Regression Parameters Under Inequality Constraints," Springer Optimization and Its Applications, in: Regression Analysis Under A Priori Parameter Restrictions, chapter 0, pages 121-181, Springer.
    • Handle: RePEc:spr:spochp:978-1-4614-0574-0_4
    DOI: 10.1007/978-1-4614-0574-0_4
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