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Optimal directional statistic for general regression. (English) Zbl 1414.62304

Summary: For a general linear regression model we construct a directional statistic which maximizes the probability that the scalar product between the vector of unknown parameters and any linear estimator is positive. Special emphasis is given to comparison of this directional statistic with the BLUE and explaining why the BLUE could be relatively poor. We illustrate our results on analytical and numerical examples.

MSC:

62J05 Linear regression; mixed models
62H20 Measures of association (correlation, canonical correlation, etc.)
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References:

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