A Classical Problem in Linear Regression or How to Estimate the Mean of a Univariate Normal Distribution with Known Variance

The problem considered is the estimation of "k" coefficients of interest in a linear regression model when the (k+1)st coefficient is of no interest. It is shown that this problem is equivalent to the problem of estimating the unknown mean of a univariate normal distribution with variance one given a single observation

Year of publication:	1998
Authors:	Magnus, J.R ; Durbin, J.
Publisher:	[S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Wahrscheinlichkeitsrechnung \| Probability theory
Description of contents:	Abstract [papers.ssrn.com]

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