Abstract
It was suggested by Pantanen[1] that the mean squared error may be used to measure the inefficiency of the least squares estimator. Styan[2] and Rao[3] et al. discussed this inefficiency and its bound later. In this paper we propose a new inefficiency of the least squares estimator with the measure of generalized variance and obtain its bound.
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Communicated by Wang Zhi-zhong
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Hu, Y. The inefficiency of the least squares estimator and its bound. Appl Math Mech 11, 1087–1093 (1990). https://doi.org/10.1007/BF02015693
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DOI: https://doi.org/10.1007/BF02015693