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On the combination of equality and inequality restrictions on regression coefficients
Author(s) -
Toutenburg H.
Publication year - 1980
Publication title -
biometrical journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.108
H-Index - 63
eISSN - 1521-4036
pISSN - 0323-3847
DOI - 10.1002/bimj.4710220309
Subject(s) - minimax , mathematics , estimator , inequality , minimax estimator , linear regression , statistics , econometrics , minimum variance unbiased estimator , mathematical economics , mathematical analysis
The paper gives a method for using equality and inequality restrictions simultaneously. This is done by combining the estimator for linear equality restrictions and the minimax linear estimator principle which was developed for inequality restraints. The result is a ridge‐type estimator, namely a biased so‐to‐speak minimax‐linear estimator (MMLE) which dominates the classical MMLE in the sense of smaller MSE.