Comparison of MINQUE and Simple Estimators under Entropy and Symmetry Loss Functions
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摘要: 在熵损失和对称损失函数下,研究了多元线性模型协方差矩阵的MINQUE估计和简单估计的比较问题,其中多元线性模型的设计矩阵和离散矩阵可以不满秩.并证明了,在熵损失函数下,MINQUE估计总是优于简单估计.Abstract: This paper considers comparison of MINQUE and simple estimator of Σ in the multivariate normal linear model Y~N(XB, Σ×V) under the risk of entropy loss function and symmetry loss function criterion, where the design matrix X need not have full rank and the dispersion matrix V can be singular. It is interested to prove that MINQUE is superior to simple estimator under Entropy loss function.
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