Improved Multivariate Prediction under a General Linear Model
Assuming a general linear model with known covariance matrix, several linear and nonlinear predictors are presented and their properties are discussed. In the context of simultaneous multiple prediction, a total sum of squared errors is suggested as a loss function for comparing predictors. Based on a rundamental relationship hetween prediction and estimation, a very general class of predictors is developed from which predictors with uniformly smaller risk than that of the classical best linear unbiased (i.e., universal kriging) predictor can be constructed.
Year of publication: |
1993
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Authors: | Gotway, C. A. ; Cressie, N. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 45.1993, 1, p. 56-72
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Publisher: |
Elsevier |
Saved in:
Online Resource
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