TY - JOUR
T1 - Kantorovich inequalities and efficiency comparisons for several classes of estimators in linear models
AU - Liu, S.
AU - Neudecker, H.
PY - 1997/1/1
Y1 - 1997/1/1
N2 - New matrix, determinant and trace versions of the Kantorovich inequality (KI) involving two positive definite matrices are presented. Some of these are used to study the efficiencies of minimum-distance (MD) estimators, generalized method-of-moments (GMM) estimators and several estimators specific to longitudinal or panel-data analysis. They are also used to give upper bounds for the determinant and trace of the asymptotic variance matrix of a weighted least-squares (WLS) estimator in the generalized linear model.
AB - New matrix, determinant and trace versions of the Kantorovich inequality (KI) involving two positive definite matrices are presented. Some of these are used to study the efficiencies of minimum-distance (MD) estimators, generalized method-of-moments (GMM) estimators and several estimators specific to longitudinal or panel-data analysis. They are also used to give upper bounds for the determinant and trace of the asymptotic variance matrix of a weighted least-squares (WLS) estimator in the generalized linear model.
KW - Cauchy-Schwarz inequality (CSI)
KW - Determinant and trace
KW - Generalized method-of-moments estimators
KW - Longitudinal or panel-data analysis
KW - Matrix
KW - Minimum-distance estimators
UR - http://www.scopus.com/inward/record.url?scp=0031478290&partnerID=8YFLogxK
U2 - 10.1111/1467-9574.00058
DO - 10.1111/1467-9574.00058
M3 - Article
AN - SCOPUS:0031478290
SN - 0039-0402
VL - 51
SP - 345
EP - 355
JO - Statistica Neerlandica
JF - Statistica Neerlandica
IS - 3
ER -