SOME CONTRIBUTIONS TO SELECTION AND ESTIMATION IN THE NORMAL LINEAR-MODEL

被引：6

作者：

VENTER, JH ^{[1
]}

STEEL, SJ ^{[1
]}

机构：

[1] POTCHEFSTROOM UNIV CHRISTIAN HIGHER EDUC,DEPT STAT & OPERAT RES,POTCHEFSTROOM 2520,SOUTH AFRICA

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 1992年 / 44卷 / 02期

关键词：

MODEL SELECTION; LINEAR MODEL; ESTIMATION; FPE-ALPHA CRITERION; MINIMAX REGRET; RISK ESTIMATION;

D O I：

10.1007/BF00058641

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 study the choice of the quantity-alpha in the FPE-alpha criterion for selecting a member of a class of normal linear models having an orthogonal structure. Two approaches are discussed, namely fixing the maximal estimation risk at a prescribed level and using minimax regret. Estimation of the risk actually achieved and an illustrative example are also discussed.

引用

页码：281 / 297

页数：17

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