Best equivariant estimator of regression coefficients in a seemingly unrelated regression model with known correlation matrix

DOI10.1007/s10463-015-0512-2zbMath1400.62144OpenAlexW2080345960MaRDI QIDQ312583

Hiroshi Kurata, Shun Matsuura

Publication date: 16 September 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-015-0512-2

zbMATH Keywords

equivariant estimatormaximal invariantgeneralized least squares estimatorgroup invarianceseemingly unrelated regression model

Mathematics Subject Classification ID

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

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