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Optimal directional statistic for general regression

Gillard, Jonathan and Zhigljavsky, Anatoly 2018. Optimal directional statistic for general regression. Statistics and Probability Letters 143 , p. 74. 10.1016/j.spl.2018.07.025

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Abstract

For a general linear regression model we construct a directional statistic which maximizes the probability that the scalar product between the vector of unknown parameters and any linear estimator is positive. Special emphasis is given to comparison of this directional statistic with the BLUE and explaining why the BLUE could be relatively poor. We illustrate our results on analytical and numerical examples.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Publisher: Elsevier
ISSN: 0167-7152
Date of First Compliant Deposit: 29 November 2018
Date of Acceptance: 31 July 2018
Last Modified: 18 Oct 2019 10:22
URI: http://orca.cf.ac.uk/id/eprint/117210

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