Zheng-Yan Zhang

The Equivariance Criterion in a Linear Model for Random-$X$ Cases

Equivariance is increasingly used in machine learning and statistics, often without systematic justification. In a companion article, the equivariance criterion was applied to the normal linear model with a fixed design matrix (fixed-$X$), yielding the minimum risk equivariant (MRE) estimators of the coefficient vector...