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Comparing Stochastically Restricted Linear Estimators in a Regression Model |
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| Authors: | Erkki P. Liski |
| Abstract: | Conditions for superiority of the minimum dispersion estimator over another with respect to the covariance matrix are derived when the vector parameter of a regression model is subject to competing stochastic restrictions. The restrictions may also consist both of a deterministic part and a stochastic part. |
| Keywords: | Linear regression Covariance matrix comparisons Minimum dispersion linear estimation Stochastic restrictions |