Applied Mathematics and Mechanics (English Edition) ›› 1994, Vol. 15 ›› Issue (4): 379-388.
陈世基1, 曾志斌2
Chen Shi-ji1, Zeng Zhi-bin2
摘要: In this paper, compression LS estimate B(k) of the regression coefficient B isconsidered when the design matrix present ill-condition in multivariate linear model.The MSE (mean square error)of the estimate β(k)=Vec(B(k))is less than theMSE of LS estimate β* of the regression coefficient β= Vec(B) by choosing the pa-rameter k. Admissibility , numerical stability and relative efficiency of β(k)are proved. The method of determining k value for practical use is also suggested.