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Admissibility of the maximum likelihood estimator in the regression of two predictands on one predictor

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Summary

Stein [2] has shown that the maximum likelihood estimator (MLE) of the regression coefficients is admissible in unvariate regression with one predictor or with two predictors and known means. In a similar way it is shown in the present note that the MLE is admissible when there are two predictands and one predictor and the means are known.

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References

  1. Anderson, T. W. (1958).An Introduction to Multivariate Statistical Analysis, John Wiley and Sons, Inc., New York.

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  2. Stein, C. (1960). Multiple regression,Contributions to Probability and Statistics—Essays in Honor of Harold Hotelling, Stanford University Press, Stanford, California, 424–443.

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Authors and Affiliations

  1. Carnegie-Mellon University, Pittsburgh, USA

    Stanley L. Sclove

Authors
  1. Stanley L. Sclove
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Sclove, S.L. Admissibility of the maximum likelihood estimator in the regression of two predictands on one predictor. Ann Inst Stat Math 22, 171–174 (1970). https://doi.org/10.1007/BF02506332

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  • DOI: https://doi.org/10.1007/BF02506332

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