An ancillarity paradox which appears in multiple linear regression

DOI10.1214/AOS/1176347602MaRDI QIDQ2641018zbMATHOpenAlexWikidataFDO

Authors Lawrence Brown

Publication date 1990

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

Full work available at URL https://doi.org/10.1214/aos/1176347602

zbMATH Keywords

normal distributionleast squares estimatorsquared error lossmultiple regressionancillary statistics

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20) Admissibility in statistical decision theory (62C15)

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• Larry Brown's contributions to parametric inference, decision theory and foundations: a survey
• Algebraic algorithms for sampling from conditional distributions
• scientific article; zbMATH DE number 922437 (Why is no real title available?)
• Directional tests and statistical frames
• Semi-supervised empirical risk minimization: using unlabeled data to improve prediction
• Estimators of slopes in linear errors-in-variables regression models when the predictors have known reliability matrix
• Optimal equivariant prediction for high-dimensional linear models with arbitrary predictor covariance
• Fisher and regression
• Small area estimation with correctly specified linking models
• The estimation of stratum means vector with random sample sizes
• Gamma-minimax prediction for the multinomial distribution
• Larry Brown's work on admissibility
• The emperor's new tests. (With comments and a rejoinder).
• On estimating domain totals over a subpopulation
• Estimated confidence under ancillary statistic everywhere-valid constraint
• Ancillaries and conditional inference (with comments and rejoinder)
• Critical issues in different inferential paradigms
• Brown's paradox in the estimated confidence approach
• Shrinkage estimators for prediction out-of-sample: conditional performance
• Semi-Supervised Linear Regression
• Dependence of variance on covariate design in nonparametric link regression
• Applied regression analysis bibliography update 1990-91
• Ridge regression and asymptotic minimax estimation over spheres of growing dimension
• An efficient method of estimating the true value of a population characteristic from its discrepant estimates
• Admissibility of confidence estimators in the regression model
• Construdtion of shrinkage estimators for the regression coefficient matrix in the gmanova model
• Covariate-assisted ranking and screening for large-scale two-sample inference
• Maximal co-ancillarity and maximal co-sufficiency

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