The robust generalized least-squares estimator
β Scribed by Mohamed L. Hambaba
- Publisher
- Elsevier Science
- Year
- 1992
- Tongue
- English
- Weight
- 547 KB
- Volume
- 26
- Category
- Article
- ISSN
- 0165-1684
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π SIMILAR VOLUMES
The tail behavior of the least-squares estimator in the linear regression model was studied in He et al. (Econometrica 58 (1990) 1195) under a ΓΏxed design for ΓΏnite n. We now consider a random design matrix Xn and the case n β β and study the probability P 0 (max16i6n |x i Rn | ΒΏ n) with n = F -1 (1
For a p-dimensional normal distribution with mean vector % and covariance matrix I p , it is known that the maximum likelihood estimator % of % with p 3 is inadmissible under the squared loss. The present paper considers possible extensions of the result to the case where the loss is a member of a g