文章基本信息

标题：Maximun entropy Leuven estimators and multicollinearity
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作者：Quirino Paris
期刊名称：Statistica
印刷版ISSN：1973-2201
出版年度：2004
卷号：64
期号：1
页码：3-22
DOI：10.6092/issn.1973-2201/23
语种：English
出版社：Dep. of Statistical Sciences "Paolo Fortunati", Università di Bologna
摘要：A novel class of estimators, called maximum entropy Leuven (MEL) estimators, is pre-sented and its performance is illustrated by Monte Carlo experiments. These estimators are inspired by the theory of light. The MEL estimators are consistent and asymptotically normal. They rival the generalized maximum entropy estimator (GME). Based on the mean squared error criterion, the MEL estimators outperform the ordinary least-squares estimator in the presence of multicollinerity.