Art

J-GLOBAL ID：201602241789291652   Reference number：16A1100585

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

既知の相関行列を用いた表面上無関係な回帰モデルにおける回帰係数の最良等価推定子

Author (2)： Kurata Hiroshi (Graduate School of Arts and Sciences, The University of Tokyo, Tokyo, Japan) ,  Matsuura Shun (Faculty of Science and Technology, Keio University, Yokohama, Japan)
Material： Annals of the Institute of Statistical Mathematics  (Ann Inst Stat Math)
Volume： 68  Issue： 4  Page： 705-723  Publication year： Aug. 2016 
JST Material Number： W2286A  ISSN： 0020-3157  Document type： Article
Article type： 原著論文  Country of issue： Germany, Federal Republic of (DEU)  Language： ENGLISH (EN)

Thesaurus term： *estimator ,  *regression model ,  group ,  *invariant ,  matrix(mathematics) ,  coefficient
Semi thesaurus term： group ,  regression coefficient ,  correlation matrix ,  *等価推定子

Author keywords (5)： Equivariant estimator ,  Seemingly unrelated regression model ,  Group invariance ,  Maximal invariant ,  Generalized least squares estimator

JST classification (2)： Statistics  (AB08000H) ,  Algebra  (AB02000R)

Reference (21)：

• Ando, T. (2011). Bayesian variable selection for the seemingly unrelated regression models with a large number of predictors. Journal of the Japan Statistical Society, 41(2), 187-203.
• Bilodeau, M. (1990). On the choice of the loss function in covariance estimation. Statistics and Decisions, 8(2), 131-139.
• Eaton, M. L. (1989). Group invariance applications in statistics, NSF-CBMS Regional Conference Series in Probability and Statistics, 1.
• Fang, K.T., Lam, P.C.B., Wu, Q.G. (1997). Estimation for seemingly unrelated regression equations. Statistics and Decisions, 15(2), 183-189.
• Giri, N. C. (1996). Group invariance in statistical inference. Singapore: World Scientific Publishing.

Terms in the title (5)： 相関行列 ,  回帰モデル ,  回帰係数 ,  等価 ,  推定子