Constrained Least Squares Suppose we wish to find the least squares estimator of a in the model y X Icirc sup2 Icirc micro subject to a set of equality constraints, say, T Icirc sup2 c (a) Show that the estimator is B B (XX) T T(X'X) )r (c r)...

a Min L y Xby Xb subject to Tb c This is equivalent to M ...

Constrained Least Squares. Suppose we wish to find the least squares estimator of a in the model

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Constrained Least Squares. Suppose we wish to find the least squares estimator of a in the model y = XÎ² + Îµ subject to a set of equality constraints, say, TÎ² = c.

(a) Show that the estimator is

where Î²Ì‚ = (X' X)^ˆ’1 X'y.

(b) Discuss situations where this model might be appropriate.

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Applied Statistics And Probability For Engineers

ISBN: 9781118539712

6th Edition

Authors: Douglas C. Montgomery, George C. Runger

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Question Posted: Jul 07, 2018 12:00 PM

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Constrained Least Squares. Suppose we wish to find the least squares estimator of a in the model

Question:

B. - B +(XX)" ×T{T(X'X)")r"] (c - rô)

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Applied Statistics And Probability For Engineers

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