Optimality of the least squares estimator

DOI10.1016/0047-259X(89)90038-9zbMath0676.62055MaRDI QIDQ1122908

Robert H. Berk, Jiunn Tzon Hwang

Publication date: 1989

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

optimalitylinear modelGauss-Markov theoremleast squares estimatorunimodalspherically symmetric distributionequivariant estimatorsrisk functionslinear unbiased estimatorssymmetric convex set

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items (5)

On \(\alpha\)-symmetric multivariate characteristic functions ⋮ Testing for spherical and elliptical symmetry ⋮ Universal inadmissibility of least squares estimator ⋮ Universal Domination and Stochastic Domination—an Improved lower Bound for the Dimensionality ⋮ A maximal extension of the Gauss-Markov theorem and its nonlinear version.

Cites Work

• Universal domination and stochastic domination: Estimation simultaneously under a broad class of loss functions
• Multivariate unimodality
• The Integral of a Symmetric Unimodal Function over a Symmetric Convex Set and Some Probability Inequalities
• A Theorem on Convex Sets with Applications
• Elliptically Symmetric Distributions: A Review and Bibliography
• A generalized unimodality
• A Spherical Surface Measure Inequality for Convex Sets

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