Estimation of linear models with nequal restrictions

J. J. A. Moors and J. C. van Houwelingen

Statistica Neerlandica, 1993, vol. 47, issue 3, 185-198

Abstract: Inequality constrained regression involves the notion of a truncated parameter space, which was studied extensively by Moors (1985). His general results are extended here and applied to linear models. Using the invariance principle, for every observation x a set Vx is defined with the property that estimators taking values in Vx (with positive probability) are inadmissible. One of the main conclusions is that the usual estimators in inequality constrained regression are inadmissible; a method to obtain better estimators is indicated.

Date: 1993
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https://doi.org/10.1111/j.1467-9574.1993.tb01416.x

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