Conditions for superiority of the minimum dispersion estimator over another with respect to the covariance matrix are derived when the vector parameter of a regression model is subject to competing stochastic restrictions. The restrictions may also consist both of a deterministic part and a stochast
β¦ LIBER β¦
On restricted linear estimation for regression in stochastic processes
β Scribed by Guido E. del Pino
- Publisher
- Elsevier Science
- Year
- 1985
- Tongue
- English
- Weight
- 287 KB
- Volume
- 3
- Category
- Article
- ISSN
- 0167-7152
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In this paper we propose a new approach for estimating the unknown parameter in the stochastic linear regressive model with stationary ergodic sequence of covariates. Under mild conditions on the joint distribution of the covariate and the error, the estimator constructed is shown to be strongly con