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Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression
Statistical Papers ( IF 1.3 ) Pub Date : 2021-04-09 , DOI: 10.1007/s00362-021-01232-5 Shun Matsuura , Hiroshi Kurata
中文翻译:
看似无关的回归模型中风险矩阵下的最优估计量及其广义最小二乘表达式
更新日期:2021-04-09
Statistical Papers ( IF 1.3 ) Pub Date : 2021-04-09 , DOI: 10.1007/s00362-021-01232-5 Shun Matsuura , Hiroshi Kurata
A set of multiple regression models whose error terms have possibly contemporaneous correlations is called a seemingly unrelated regression model. In this paper, a best equivariant estimator of the regression vector under risk matrix is established in a seemingly unrelated regression model. It should be noted that an estimator optimal with respect to risk matrix remains optimal under a broad range of quadratic loss functions. A generalized least squares expression of our estimator is also presented.
中文翻译:
看似无关的回归模型中风险矩阵下的最优估计量及其广义最小二乘表达式
误差项可能具有同时相关性的一组多个回归模型称为看似不相关的回归模型。在本文中,在一个看似无关的回归模型中,建立了风险矩阵下回归向量的最佳等变估计量。应该注意的是,在广泛的二次损失函数范围内,相对于风险矩阵而言最优的估计器仍保持最优。还介绍了我们的估算器的广义最小二乘表达式。