Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
Anderson, T. W.
Ann. Math. Statist., Tome 22 (1951) no. 4, p. 327-351 / Harvested from Project Euclid
In this paper linear restrictions on regression coefficients are studied. Let the $p \times q_2$ matrix of coefficients of regression of the $p$ dependent variates on $q_2$ of the independent variates be $\mathbf{\bar B}_2$. Maximum likelihood estimates of an $m \times p$ matrix $\Gamma$ satisfying $\Gamma'\mathbf{\bar B}_2 = 0$ and certain other conditions are found under the assumption that the rank of $\mathbf{\bar B}_2$ is $p - m$ and the dependent variates are normally distributed (Section 2). Confidence regions for $\Gamma$ under various conditions are obtained (Section 5). The likelihood ratio test of the hypothesis that the rank of $\mathbf{\bar B}_2$ is a given number is obtained (Section 3). A test of the hypothesis that $\Gamma$ is a certain matrix is given (Section 4). These results are applied to the "$q$-sample problem" (Section 7) and are extended for certain econometric models (Section 6).
Publié le : 1951-09-14
Classification: 
@article{1177729580,
     author = {Anderson, T. W.},
     title = {Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions},
     journal = {Ann. Math. Statist.},
     volume = {22},
     number = {4},
     year = {1951},
     pages = { 327-351},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177729580}
}
Anderson, T. W. Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions. Ann. Math. Statist., Tome 22 (1951) no. 4, pp.  327-351. http://gdmltest.u-ga.fr/item/1177729580/