Abnormal behavior of the least squares estimate of multiple regression

被引：9

作者：

Chen, XR ^{[1
]}

An, HZ ^{[1
]}

机构：

[1] CHINESE ACAD SCI, INST APPL MATH, BEIJING 100080, PEOPLES R CHINA

来源：

SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY | 1997年 / 40卷 / 03期

关键词：

least squares estimation; multiple regression; weak consistency;

D O I：

10.1007/BF02874515

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

An example is given to reveal the abnormal behavior of the least squares estimate of multiple regression. It is shown that the least squares estimate of the multiple linear regression may be ''improved'' in the sense of weak consistency when nuisance parameters are introduced into the model. A discussion on the implications of this finding is given.

引用

页码：234 / 242

页数：9