Comparison of linear restricted models with respect to the validity of admissible and linearly sufficient estimators

Two restricted linear models M0 and M are considered. The models can differ in model matrices, dispersion matrices, and possibly in parameter restrictions. The validity under M of estimators that are admissible and linearly sufficient under M0 is studied. Criteria are derived for strong and week validity, i.e. when all estimators and at least one, respectively, preserve their properties. Some supplementary results for unrestricted model are also given.

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Year of publication:	1998
Authors:	Markiewicz, Augustyn
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 38.1998, 4, p. 347-354
Publisher:	Elsevier
Keywords:	Admissibility Linear sufficiency General ridge estimator Restricted linear model

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005313799