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On the Loss Robustness of Least-Square Estimators |
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| Authors: | Tamal Ghosh Malay Ghosh Tatsuya Kubokawa |
| Institution: | 1. Department of Statistics, University of Florida, Gainesville, FL;2. tamalg@ufl.edu;4. Graduate School of Economics, The University of Tokyo, Tokyo, Japan |
| Abstract: | AbstractThe article revisits univariate and multivariate linear regression models. It is shown that least-square estimators (LSEs) are minimum risk estimators in general class of linear unbiased estimators under some general divergence loss. This amounts to the loss robustness of LSEs. |
| Keywords: | Divergence Gauss–Markov theorem Linear Risk minimization Unbiased estimators |