Title

Comparative statics of the generalized maximum entropy estimator of the general linear model

Authors

Authors

M. R. Caputo;Q. Paris

Comments

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Abbreviated Journal Title

Eur. J. Oper. Res.

Keywords

comparative statics; sensitivity analysis; generalized maximum entropy; general linear model; regression; Management; Operations Research & Management Science

Abstract

The generalized maximum entropy method of information recovery requires that an analyst provides prior information in the form of finite bounds on the permissible values of the regression coefficients and error values for its implementation. Using a new development in the method of comparative statics, the sensitivity of the resulting coefficient and error estimates to the prior information is investigated. A negative semidefinite matrix reminiscent of the Slutsky-matrix of neoclassical microeconomic theory is shown to characterize the said sensitivity, and an upper bound for the rank of the matrix is derived. (c) 2007 Elsevier B.V. All rights reserved.

Journal Title

European Journal of Operational Research

Volume

185

Issue/Number

1

Publication Date

1-1-2008

Document Type

Article

Language

English

First Page

195

Last Page

203

WOS Identifier

WOS:000250258400012

ISSN

0377-2217

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