Some Results on Parameter Estimation in Linear Models With Prior Information
吴启光, 臧传博 · 中国科学通报：英文版 · 1993
Consider the linear model Y=Xβ+e; e～N(0, σ~2I). (1) where X is a known n×p matrix of rank p 0 are parameters. Assume that prior information about β in the form U=Hβ+e (2) is available. Here H is a known k×p matrix. and H≠0; e～N(0, W); W is known and positive definite symmetric. Assume also that e and e are independent.