A method for second-order evaluation of risk matrix of GLSE with estimated parameter in trended data. (English) Zbl 0585.62117
Summary: A method for the second-order evaluation of the risk matrix of the GLSE with the estimated parameter is demonstrated in the trended designed vector case. It is shown that this situation has similar implications to the bounded designed vector case. Several examples of the regression vector are discussed in order to elucidate the structure of the second- order expansions of the risk matrix of the GLSE in the trended case.
MSC:
62J05 | Linear regression; mixed models |
62H12 | Estimation in multivariate analysis |
62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
62F12 | Asymptotic properties of parametric estimators |