Simultaneous estimation in a restricted linear model

被引：6
|
作者：
Rueda, C
Salvador, B
Fernandez, MA
机构：
来源：
JOURNAL OF MULTIVARIATE ANALYSIS | 1997年 / 61卷 / 01期
关键词：
restricted estimator; simultaneous estimation; mean squared error; stochastic ordering; universal domination;
D O I：
10.1006/jmva.1997.1657
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider a linear normal model Y = X theta + e with theta verifying a linear restriction and the standard estimators <(theta)over cap> (unrestricted MLE) and theta* (restricted MLE). We prove that theta* is preferable to <(theta)over cap> 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)over cap>. (C) 1997 Academic Press.
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页码：61 / 66
页数：6
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