Another look at the naive estimator in a regression model - 文章详情页

作者：

Liski, E.P. (Liski, E.P..) | Wang, S.-G. (Wang, S.-G..)

收录：

Scopus

摘要：

We　consider　the　linear　regression　model　where　only　a　particular　linear　function　of　the　dependent　variables　is　observed,　Stahlecker　and　Schmidt　(1987)　proposed　a　＂naive＂　least　squares　(LS)　estimator　for　regression　coefficients　in　such　a　case.　In　this　note　we　represent　their　estimator　as　a　general　ridge　estimator.　This　observation　leads　to　a　view　different　from　the　previous　work　and　provides　an　easy　way　of　obtaining　many　important　properties　of　the　naive　LS　estimator.　Our　approach　also　gives　some　insight　into　the　relationship　between　the　naive　LS　estimator　and　the　generalized　least　squares　estimator.　©　1994　Physica-Verlag.

关键词：

general ridge estimator; mean square error matrix; naive LS estimator

作者机构：

[ 1 ] [Liski, E.P.]University of Tampere, P.O. Box 607, Tampere, 33101, Finland
[ 2 ] [Wang, S.-G.]Beijing Polytechnic University, Beijing, 100022, China

通讯作者信息：

[Liski, E.P.]University of Tampere, P.O. Box 607, Tampere, 33101, Finland

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