January 2009
Beginner
264 pages
8h 12m
English
Content preview from Computational Statistics
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Figure 2.1 KiwiHopp
SIMULTANEOUS INFERENCE 85
2.4 Simultaneous Inference
2.4.1 Scheff´e’s Confidence Bands
In principle, the least-squares estimator estimates all components of the parameter vector si-
multaneously. On the other hand, the optimality statements in the Gauss-Markov theorem refer
only to one-dimensional linear statistics. But multivariate confidence statements are possible.
The confidence set for confidence level 1 −α derived from the F distribution has the form
{
b
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