On characterization of linear admissible estimators: An extension of a result due to C. R. Rao

Defined is a class of models which have the following property: If L'Y is an admissible estimator of C'EY among linear estimators, then there exists a matrix H such that L = HC and H'Y is an admissible estimator of EY. This class includes the regression model. A model which does not have this property is also constructed. The result is an extension of a result established by C. R. Rao for the regression model with a positive definite covariance matrix.

MoreLess

Year of publication:	1987
Authors:	Zontek, Stefan
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 23.1987, 1, p. 1-12
Publisher:	Elsevier
Keywords:	general linear model linear estimation admissibility

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221735