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Simultaneous Estimation in a Restricted Linear Model

Author

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

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].

Suggested Citation

  • Rueda, C. & Salvador, B. & Fernández, M. A., 1997. "Simultaneous Estimation in a Restricted Linear Model," Journal of Multivariate Analysis, Elsevier, vol. 61(1), pages 61-66, April.
    • Handle: RePEc:eee:jmvana:v:61:y:1997:i:1:p:61-66
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    References listed on IDEAS

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    1. Dykstra, Robert R., 1988. "Trails South: The Wagon-Road Economy in the Dodge City-Panhandle Region. By C. Robert Haywood. Norman: University of Oklahoma Press, 1986. xv + 312 pp. Maps, illustrations, notes, bibliography, and in," Business History Review, Cambridge University Press, vol. 62(1), pages 157-158, April.
    2. Kushary D. & Cohen A., 1989. "Estimating Ordered Location And Scale Parameters," Statistics & Risk Modeling, De Gruyter, vol. 7(3), pages 201-214, March.
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    Cited by:

    1. Iwasa, Manabu & Moritani, Yoshiya, 2002. "Concentration Probabilities for Restricted and Unrestricted MLEs," Journal of Multivariate Analysis, Elsevier, vol. 80(1), pages 58-66, January.
    2. Garren Steven T., 2003. "Improved estimation of medians subject to order restrictions in unimodal symmetric families," Statistics & Risk Modeling, De Gruyter, vol. 21(4), pages 367-380, April.

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