Simultaneous Estimation in a Restricted Linear Model

C. Rueda, B. Salvador and M. A. Fernández

Journal of Multivariate Analysis, 1997, vol. 61, issue 1, 61-66

Abstract: We consider a linear normal modelY=X[theta]+ewith[theta]verifying a linear restriction and the standard estimators [theta](unrestricted MLE) and[theta]* (restricted MLE). We prove that[theta]* is preferable to [theta]using a new and strong criterion which implies the domination under other usual criteria; in particular it is proven that the standard simultaneous confidence intervals centered at[theta]* have more confidence than those centered at [theta].

Keywords: restricted; estimator; simultaneous; estimation; mean; squared; error; stochastic; ordering; universal; domination (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (2)

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