| Title:
|
Bayes unbiased estimators of parameters of linear trend with autoregressive errors (English) |
| Author:
|
Štulajter, František |
| Language:
|
English |
| Journal:
|
Aplikace matematiky |
| ISSN:
|
0373-6725 |
| Volume:
|
32 |
| Issue:
|
6 |
| Year:
|
1987 |
| Pages:
|
451-458 |
| Summary lang:
|
English |
| Summary lang:
|
Russian |
| Summary lang:
|
Slovak |
| . |
| Category:
|
math |
| . |
| Summary:
|
The method of least wquares is usually used in a linear regression model $\bold {Y=X\beta+\epsilon}$ for estimating unknown parameters $\bold \beta$. The case when $\epsilon$ is an autoregressive process of the first order and the matrix $\bold X$ corresponds to a linear trend is studied and the Bayes approach is used for estimating the parameters $\bold \beta$. Unbiased Bayes estimators are derived for the case of a small number of observations. These estimators are compared with the locally best unbiased ones and with the usual least squares estimators. (English) |
| Keyword:
|
autoregressive process of first order |
| Keyword:
|
linear trend |
| Keyword:
|
Unbiased Bayes estimators |
| Keyword:
|
locally best unbiased |
| Keyword:
|
least squares estimators |
| MSC:
|
62F10 |
| MSC:
|
62F15 |
| MSC:
|
62J05 |
| MSC:
|
62M10 |
| idZBL:
|
Zbl 0632.62091 |
| idMR:
|
MR0916061 |
| DOI:
|
10.21136/AM.1987.104276 |
| . |
| Date available:
|
2008-05-20T18:33:27Z |
| Last updated:
|
2020-07-28 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/104276 |
| . |
| Reference:
|
[1] J. Anděl: Statistical Analysis of Time series.(Czech) SNTL, Praha 1976. |
| Reference:
|
[2] C. R. Rao: Linear Statistical Inference and Its Applications.J. Wiley, N. York 1965. Zbl 0137.36203, MR 0221616 |
| Reference:
|
[3] A. Zellner: An Introduction to Bayesian Inference in Econometric.J. Wiley, N. York 1971. MR 0433791 |
| . |
