Un teorema di rappresentazione per lo stimatore vincolato
A recent result in partitioned inversion (Faliva and Zoia, 2000) paves the way to shed some more light on constrained estimation, as the paper shows for the linear model. Indeed, a novel closed-form expression for the restricted least-squares(RLS) estimator is derived, which reads as a mirror image...
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| Format: | Article |
| Language: | English |
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University of Bologna
2007-10-01
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| Series: | Statistica |
| Online Access: | http://rivista-statistica.unibo.it/article/view/406 |
| Summary: | A recent result in partitioned inversion (Faliva and Zoia, 2000) paves the way to shed some more light on constrained estimation, as the paper shows for the linear model. Indeed, a novel closed-form expression for the restricted least-squares(RLS) estimator is derived, which reads as a mirror image of the well-known Theil's(1961) solution and actually turns out to cover the latter as a special case. This leads eventually to an elegant representation theorem for the RLS estimator which combines classical and new results as well. |
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| ISSN: | 0390-590X 1973-2201 |