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June, 1986 An Approach to Upper Bound Problems for Risks of Generalized Least Squares Estimators
Yasuyuki Toyooka, Takeaki Kariya
Ann. Statist. 14(2): 679-690 (June, 1986). DOI: 10.1214/aos/1176349946

Abstract

First, an approach to an upper bound for the risk matrix of GLSE's is established when the information on the parameter space of the structural parameter in the covariance matrix of the error can be utilized. Second, this result is applied to regression with (i) serial correlation and (ii) heteroscedastic covariance structure. In the heteroscedastic regression, the problem of estimating the common mean of two normal populations is studied in detail.

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Yasuyuki Toyooka. Takeaki Kariya. "An Approach to Upper Bound Problems for Risks of Generalized Least Squares Estimators." Ann. Statist. 14 (2) 679 - 690, June, 1986. https://doi.org/10.1214/aos/1176349946

Information

Published: June, 1986
First available in Project Euclid: 12 April 2007

zbMATH: 0609.62043
MathSciNet: MR840522
Digital Object Identifier: 10.1214/aos/1176349946

Subjects:
Primary: 62J05
Secondary: 62M10

Rights: Copyright © 1986 Institute of Mathematical Statistics

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Vol.14 • No. 2 • June, 1986
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