Albert’s theorem applied to problems of efficiency and MSE superiority

Paul Bekker; H Neudecker

doi:10.1111/j.1467-9574.1989.tb01256.x

Albert’s theorem applied to problems of efficiency and MSE superiority

Paul Bekker
, H Neudecker

Economics, Econometrics and Finance

Research output: Contribution to journal › Article › Academic › peer-review

7 Citations (Scopus)

Abstract

Albert’s Theorem, which is closely related to general results on Schur complements can be successfully applied to statistical problems.
In the present paper a concise proof for a slightly more general version of the theorem will be given. Two applications on efficiency and a structured overview of results on MSE superiority are then presented. They are the main statistical results of this self-contained paper.

Original language	English
Pages (from-to)	157-167
Number of pages	11
Journal	Statistica Neerlandica
Volume	43
Issue number	3
DOIs	https://doi.org/10.1111/j.1467-9574.1989.tb01256.x
Publication status	Published - Sept-1989

Keywords

covariance matrix difference
Lowner ordering
generalized inverse
mean-squarederror matrix difference

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title = "Albert{\textquoteright}s theorem applied to problems of efficiency and MSE superiority",

abstract = "Albert{\textquoteright}s Theorem, which is closely related to general results on Schur complements can be successfully applied to statistical problems. In the present paper a concise proof for a slightly more general version of the theorem will be given. Two applications on efficiency and a structured overview of results on MSE superiority are then presented. They are the main statistical results of this self-contained paper.",

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T1 - Albert’s theorem applied to problems of efficiency and MSE superiority

AU - Bekker, Paul

AU - Neudecker, H

PY - 1989/9

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AB - Albert’s Theorem, which is closely related to general results on Schur complements can be successfully applied to statistical problems. In the present paper a concise proof for a slightly more general version of the theorem will be given. Two applications on efficiency and a structured overview of results on MSE superiority are then presented. They are the main statistical results of this self-contained paper.

KW - covariance matrix difference

KW - Lowner ordering

KW - generalized inverse

KW - mean-squarederror matrix difference

U2 - 10.1111/j.1467-9574.1989.tb01256.x

DO - 10.1111/j.1467-9574.1989.tb01256.x

M3 - Article

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VL - 43

SP - 157

EP - 167

JO - Statistica Neerlandica

JF - Statistica Neerlandica

IS - 3

ER -

Albert’s theorem applied to problems of efficiency and MSE superiority

Abstract

Keywords

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