On Inequality Constrained Generalized Least Squares Selections in the General Possibly Singular
Werner, Hans Joachim
This paper deals with the general possibly singular linear model. It is assumed that in addition to the sample information we have some nonstochastic prior information concerning the unknown regression coefficients that can be expressed in form of linear independent inequality constraints. Since these constraints are part and parcel of the model the inequality constrained generalized least squares (ICGLS) problem arises that contains some unknown aspects up to now. Based on a projector theoretical approach we show in this paper how the set of ICGLS selections under the constrained model is related to the set of GLS selections under the associated unconstrained model. As a by-product we obtain an interesting method for determining an ICGLS selection from a GLS selection. The insights gained from our considerations might also be useful in a future study of the statistical properties of ICGLS estimators. Certain special model cases are also considered. Some of the results discussed in  and  are reobtained.
Gauss-Markov model, singular model, perfect multicollinearity, linear inequality constraints, inequality constrained generalized least squares problem, oblique projectors, generalized inverses.
In order to set up a list of libraries that you have access to,
you must first login
or sign up.
Then set up a personal list of libraries from your profile page by
clicking on your user name at the top right of any screen.