Improved Predictions in Linear Regression Models with Stochastic Linear Constraints

Toutenburg, Helge und Shalabh (1998): Improved Predictions in Linear Regression Models with Stochastic Linear Constraints. Sonderforschungsbereich 386, Discussion Paper 124

Abstract

In this article, we have considered two families of predictors for the simultaneous prediction of actual and average values of study variable in a linear regression model when a set of stochastic linear constraints binding the regression coefficients is available. These families arise from the method of mixed regression estimation. Performance properties of these families are analyzed when the objective is to predict values outside the sample and within the sample.

• Dokumententyp: Paper
• Fakultät: Mathematik, Informatik und Statistik > Statistik > Sonderforschungsbereich 386 ; Sonderforschungsbereiche > Sonderforschungsbereich 386
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• Sprache: Englisch