Inadmissibility of Maximum Likelihood Estimators in Some Multiple Regression Problems with Three or More Independent Variables
含三个及以上自变量的某些多元回归问题中最大似然估计的不可容许性
Consider a multiple regression problem in which the dependent variable and (3 or more) independent variables have a joint normal distribution. This problem was investigated some time ago by Charles Stein, who proposed reasonable loss functions for various problems involving estimation of the regression coefficients and who obtained various minimax and admissibility results. In this paper we continue this investigation and establish the inadmissibility of the traditional…