Invariant confidence sequences for some parameters in a multivariate linear regression model
Let \(X_{(n)}=(X_ 1,..., X_ n)\) be a random matrix with i.i.d. \(X_ i\sim N_ p(\beta Y_ i, \Sigma)\), where \(\beta\) : \(p\times q\) and \(\Sigma\) are unknown parameters. The paper derives a sequence of invariant (with respect to nonsingular matrices) subsets \(R_{(n)}(X_{(n)})\subset {\mathbb{R}}^{p\times q}\) with \(P(\cap_{n\geq m}R_{(n)}(X_{(n)})\ni \beta)\geq 1-\alpha\) for some fixed m. Some sub- parameters are also dealt with. Some special choices of p and q give known confidence sequences, some other choices result in solutions being simpler than the known ones.
- CONFIDENCE SEQUENCES FOR REGRESSION COEFFICIENTS IN A MULTIVARIATE LINEAR MODEL
- scientific article; zbMATH DE number 3945164
- Sequential confidence sets with guaranteed coverage probability and beta- protection
- Confidence regions in a multivariate regression model with constraints II
- scientific article; zbMATH DE number 4082752
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