Generalized Bayes Stein-Type Estimators for Regression Parameters under Linear Constraints

K. Hoffmann

Journal of Multivariate Analysis, 1993, vol. 46, issue 1, 120-130

Abstract: The problem of estimating the k-dimensional parameter vector in a linear regression model with m linear restrictions is considered. The proposed estimators are generalized Bayes with respect to a prior distribution compatible with the linear restrictions. Under certain conditions some of the generalized Bayes estimators dominate the ordinary least-squares estimator and are admissible.

Date: 1993
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