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受限无偏迭代广义最小二乘估计

Restricted Unbiased Iterative Generalized Least-Squares Estimation

Biometrika · 1989
被引 9
ABS 4

中文导读

提出一种改进的迭代最小二乘法,用于估计一般多水平随机系数线性模型中的参数,能产生随机参数的无偏估计,在多元正态情形下等价于受限最大似然估计。

Abstract

It is shown that the iterative least-squares procedure for estimating the parameters in a general multilevel random coefficients linear model can be modified to produce unbiased estimates of the random parameters. In the multivariate normal case these are equivalent to restricted maximum likelihood estimates.

统计学计量经济学线性模型参数估计