线性模型中共同均值的线性估计的可容许性

ADMISSIBILITY OF LINEAR ESTIMATORS OF THE COMMON MEAN VECTOR IN LINEAR MODEL

  • 摘要: 文章对于共同均值模型的共同均值的线性(包含齐线性与非齐线性)估计的可容许性,给出了共同均值的线性组合的线性估计的可容许的充分必要条件。在文章的证明过程中用了矩阵微商的方法。

     

    Abstract: Consider the linear model: Yi=(y1i,…,yni)’=β+εi=(β1,…, βn)'+(ε1i…,εni)' i=1,…,m where Y1,…, Ym are independent, Eεi)=0, Var (εi)=σi2V,i= 1,…, m. βRn, 0<σi2< ∞ unknown. The necessary and sufficient conditions that \sum_i=1^m A_i Y_i and \sum_i=1^m A_t Y_i+O are admissible for within the classes \sum_i=1^m A_i Y_i ; A_i: s \times n and \sum_i=1^m A_i Y_i+C; Ai: s×n,C:s×1 are given respectively. In comparision with the method used in other papers, we use the method of matrix derivative.

     

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