Optimal directional statistic for general regression

Jonathan Gillard and Anatoly Zhigljavsky

Statistics & Probability Letters, 2018, vol. 143, issue C, 74-80

Abstract: For a general linear regression model we construct a directional statistic which maximizes the probability that the scalar product between the vector of unknown parameters and any linear estimator is positive. Special emphasis is given to comparison of this directional statistic with the BLUE and explaining why the BLUE could be relatively poor. We illustrate our results on analytical and numerical examples.

Keywords: Regression; Optimal direction; BLUE; Correlated errors (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:143:y:2018:i:c:p:74-80

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DOI: 10.1016/j.spl.2018.07.025

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