Multivariate Calibration: A Generalization of the Classical Estimator

摘要

A generalization of the classical estimator for multivariate regression problems is considered. It is shown that this estimator has a finite mean if the dimension, say p, of the response variable is greater than 2, and it is shown that the mean squared error is finite for p greater than 4. Exact expressions for the mean and the mean squared error are given in terms of expectations of Poisson variables, which can be easily approximated.