Some equivalences in linear estimation (in Russian)

Dmitry Danilov and Jan Magnus ()
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Dmitry Danilov: Eindhoven University of Technology, Netherlands

Quantile, 2007, issue 3, 83-90

Abstract: Under normality, the Bayesian estimation problem, the best linear unbiased estimation problem, and the restricted least-squares problem are all equivalent. As a result we need not compute pseudo-inverses and other complicated functions, which will be impossible for large sparse systems. Instead, by reorganizing the inputs, we can rewrite the system as a new but equivalent system which can be solved by ordinary least-squares methods.

Keywords: Linear Bayes estimation; best linear unbiased; least squares; sparse problems; large-scale optimization (search for similar items in EconPapers)
JEL-codes: C11 C61 C63 (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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