On comparison of dispersion matrices of estimators under a constrained linear model

被引：19
作者：
Tian, Yongge [1 ]
Guo, Wenxing [2 ]
机构：
[1] Cent Univ Finance & Econ, CEMA, Beijing, Peoples R China
[2] Cent Univ Finance & Econ, Sch Math & Stat, Beijing, Peoples R China
来源：
STATISTICAL METHODS AND APPLICATIONS | 2016年 / 25卷 / 04期
基金：
中国国家自然科学基金;
关键词：
Constrained linear model; OLSE; BLUE; Dispersion matrix; Rank; Inertia; Equality; Inequality; GAUSS-MARKOV MODEL; NATURAL RESTRICTIONS; COVARIANCE MATRICES; BLUES; OLSE; EQUALITIES;
D O I：
10.1007/s10260-016-0350-2
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We introduce some new mathematical tools in the analysis of dispersion matrices of the two well-known OLSEs and BLUEs under general linear models with parameter restrictions. We first establish some formulas for calculating the ranks and inertias of the differences of OLSEs' and BLUEs' dispersion matrices of parametric functions under the general linear model and the constrained model , where is a consistent linear matrix equation for the unknown parameter vector to satisfy. As applications, we derive necessary and sufficient conditions for many equalities and inequalities of OLSEs' and BLUEs' dispersion matrices to hold under and M-r.
引用
收藏
页码：623 / 649
页数：27
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