Best invariant estimation of a direction parameter

DOI10.1214/AOS/1176349536zbMATH Open0583.62044OpenAlexW2006578054WikidataQ101623973 ScholiaQ101623973MaRDI QIDQ1069240FDOQ1069240

T. W. Anderson, Asad Zaman, Charles M. Stein

Publication date: 1985

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176349536

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zbMATH Keywords

factor analysisrandom matrixlinear functional relationshipbest estimator invariant under rotationsdirection paramterslargest principal component

Mathematics Subject Classification ID

Point estimation (62F10) Foundations and philosophical topics in statistics (62A01) Estimation in multivariate analysis (62H12) Statistical decision theory (62C99) Admissibility in statistical decision theory (62C15)

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• ADMISSIBLE SIGNIFICANCE TESTS IN SIMULTANEOUS EQUATION MODELS
• Robust confidence sets in the presence of weak instruments
• MY REMINISCENCES OF TRYGVE HAAVELMO AT THE COWLES COMMISSION
• The LIML estimator has finite moments!

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