【摘要】 对由m个相依线性回归方程组成的线性回归系统,本文提出了基于最小二乘估计和协方差改进估计的一种新型估计,即预检验估计。文章讨论了度量附加信息和样本信息之间相关程度的统计量,给出了估计的一些优良性结果,并与最小二乘估计及协方差改进估计作了比较,最后通过随机模拟验证了预检验估计所具有的良好性质。更多还原

【Abstract】 In this paper, we propose a new type of estimator called pre-test estimator (PTE) for seemingly unrelated linear regression system based on the least square estimator (LSE) and the covariance improvement estimator(CIE). The statistic used to measure the correlation between sample information and additional information is obtained. We also discuss some properties of PTE and make comparison with LSE and CIE in terms of mean square error. Furthermore, Monte Carlo simulation is reported to show the performance of PTE.更多还原