半相依回归系统参数的广义压缩估计

The Generalized Shrunken Estimaters of the Parameters in the Two Seemingly Unrelated Regression System

摘要: 本文对二个相依回归方程组成的线性回归系统(1,1),在设计矩阵呈病态时,提出了—类改进估计广义压缩估计类,讨论了这类估计的可容许性和均方误差下的比较。

Abstract: For the two seemingly unrelated regression system （1.1）, when the design matrix is ill-conditioned, we propose a class of improved estimators - the generalized shrunken estimators. The ad-missibility of the estimators and the comparision among them are studied under the MSE eriterion.