Simultaneous estimation in a restricted linear model

[摘要] We consider a linear normal model Y = X theta + e with theta verifying a linear restriction and the standard estimators <(theta)over cap> (unrestricted MLE) and theta* (restricted MLE). We prove that theta* is preferable to <(theta)over cap> 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)over cap>. (C) 1997 Academic Press.

[发布日期] 1997-04-01

[关键词] restricted estimator;simultaneous estimation;mean squared error;stochastic ordering;universal domination