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.
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页码：281 / 297
页数：17
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