<p>This thesis investigates the statistical properties of preliminary test estimators of linear models with normally distributed errors. Specifically, we derive exact expressions for the mean, variance and quadratic risk (i.e. the Mean Square Error) of estimators whose form are determined by the outcome of a statistical test. In the process, some new results on the moments of truncated linear or quadratic forms in normal vectors are established.</p><p>In the first paper (Paper I), we consider the estimation of the vector of regression coefficients under a model selection procedure where it is assumed that the analyst chooses between two nested linear models by some of the standard model selection criteria. This is shown to be equivalent to estimation under a preliminary test of some linear restrictions on the vector of regression coefficients. The main contribution of Paper I compared to earlier research is the generality of the form of the test statistic; we only assume it to be a quadratic form in the (translated) observation vector. Paper II paper deals with the estimation of the regression coefficients under a preliminary test for homoscedasticity of the error variances. In Paper III, we investigate the statistical properties of estimators, truncated at zero, of variance components in linear models with random effects. Paper IV establishes some new results on the moments of truncated linear and/or quadratic forms in normally distributed vectors. These results are used in Papers I-III. In Paper V we study some algebraic properties of matrices that occur in the comparison of two nested models. Specifically we derive an expression for the inertia (the number of positive, negative and zero eigenvalues) of this type of matrices.</p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:uu-7155 |
| Date | January 2006 |
| Creators | Korsell, Nicklas |
| Publisher | Uppsala University, Department of Information Science, Uppsala : Institutionen för informationsvetenskap |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Doctoral thesis, comprehensive summary, text |
| Relation | Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Social Sciences, 1652-9030 ; 17 |
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