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A good property of the maximum likelihood estimator in a restricted normal model

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Summary

We consider a normal model with known diagonal covariance matrix and a vector of means constrained to belong to a polyhedral cone. The standard estimatorsX (unrestricted MLE) andX * (restricted MLE) are compared for estimation of several components of the parameter simultaneously. We show thatX * is preferred toX under several conditions.

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Authors and Affiliations

  1. Depto. de Estadística e Investigación Operativa, Univ. de Valladolid, 47071, Valladolid, Spain

    C. Rueda, B. Salvador & M. A. Fernández

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  1. C. Rueda
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  2. B. Salvador
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  3. M. A. Fernández
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Rueda, C., Salvador, B. & Fernández, M.A. A good property of the maximum likelihood estimator in a restricted normal model. Test 6, 127–135 (1997). https://doi.org/10.1007/BF02564430

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  • DOI: https://doi.org/10.1007/BF02564430

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