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奇异线性模型下最小范数二次无偏估计关于误差分布的稳健性

DOI: 10.11830/ISSN.1000-5013.2012.01.0112

Keywords: 奇异线性模型, 稳健性, 最佳线性无偏估计, 最小范数二次无偏估计

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Abstract:

讨论奇异线性模型下方差σ2的最小范数二次无偏估计关于误差分布的稳健性问题,得到方差的最小范数二次无偏估计保持最优的误差项的最大分布类.进一步考虑可估计函数Xβ的最佳线性无偏估计的稳健性,得到了Xβ的最佳线性无偏估计与方差σ2的最小范数二次无偏估计同时最优的误差项的最大类.

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