矩阵损失下一类相依回归模型中的线性容许估计和Minimax估计

The Linear Admissible and Minimax Estimators in Seemingly Unrelated Regression Model under Matrix Loss

  • 摘要: 本文研究设计矩阵具有相同值域的相依回归模型,在矩阵损失下我们给出了回归系数的线性估计是线性容许的充要条件,它们推广了已有的结果,我们也在矩阵损失下给出了某个回归模型的回归系数的唯一的Minimax估计,它说明此时其它模型的信息不起作用。

     

    Abstract: In this paper, we study the Seemingly Unrelated Regression Model with design matrices have same range space. We give the necessary and sufficient conditions that a linear estimator of regression coefficient is lenear admissible under matrix loss. The results generalize t;he conclusions got before by others. We also give a unique linear minimax estimator of regression coefficient in a regression model under matrix loss.It shows that the information of other models doesn’t play a role in estimation.

     

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