RESTRICTED M-ESTIMATION

被引：0
|
作者：
NYQUIST, H [1 ]
机构：
[1] UMEA UNIV,DEPT STAT,S-90187 UMEA,SWEDEN
来源：
COMPUTATIONAL STATISTICS & DATA ANALYSIS | 1992年 / 14卷 / 04期
关键词：
LINEAR REGRESSION MODEL; LINEAR RESTRICTIONS; M-ESTIMATION; PENALTY FUNCTION; RESTRICTED ESTIMATION; RIDGE TYPE M-ESTIMATION;
D O I：
10.1016/0167-9473(92)90065-N
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
M-estimation of the multiple linear regression model under restrictions on the parameters is considered. Using a penalty function approach an iterative procedure for obtaining the estimates is proposed. The iterations are based on an iterative reweighted least squares procedure to which a modification for the restrictions is added. The influence function for the restricted estimator is derived. It is finally noted that the penalty function approach can be used to define a ridge type M-estimator.
引用
收藏
页码：499 / 507
页数：9
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