TY - JOUR

T1 - Characterizations and dispersion-matrix robustness of efficiently estimable parametric functionals in linear models with nuisance parameters

AU - Nordström, Kenneth

AU - Fellman, Johan

N1 - Funding Information:
The authors are very grateful to Professors Ierzy K. Baksalary and Tadeusz Cal&ski for valuable comments on the original research report Noro!str&n and Fellman (1988). Thanks are also due to a referee for helpful suggestions. The work of the first author was supported in part by a grant j&m the University of Helsinki.

PY - 1990

Y1 - 1990

N2 - Algebraic representations, dimensional expressions, and characterizations are given for the subspace of functionals of the main parameters γ, which can be estimated with full efficiency under a linear model (y, Wγ + Zδ, σ2V) containing nuisance parameters δ. Subspaces of functionals of γ, for which the ordinary least-squares estimator is robust against an alternative dispersion matrix V, are obtained, and a particular subspace of such functionals is found wherein the ordinary least-squares estimator is both dispersion-matrix robust and robust against the presence of nuisance parameters.

AB - Algebraic representations, dimensional expressions, and characterizations are given for the subspace of functionals of the main parameters γ, which can be estimated with full efficiency under a linear model (y, Wγ + Zδ, σ2V) containing nuisance parameters δ. Subspaces of functionals of γ, for which the ordinary least-squares estimator is robust against an alternative dispersion matrix V, are obtained, and a particular subspace of such functionals is found wherein the ordinary least-squares estimator is both dispersion-matrix robust and robust against the presence of nuisance parameters.

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U2 - 10.1016/0024-3795(90)90348-G

DO - 10.1016/0024-3795(90)90348-G

M3 - Article

AN - SCOPUS:45149139892

VL - 127

SP - 341

EP - 361

JO - Linear Algebra and Its Applications

JF - Linear Algebra and Its Applications

SN - 0024-3795

IS - C

ER -