A complete class for linear estimation in a general linear model
Consider a random vector Y in \(R^ n\) with expectation u and variance- covariance matrix V, where u and V are unknown. The author considers estimation of a parameter c'u by estimators of the form d'Y, \(c\in R^ n\), with mean square error risk. The author shows that any unique (up to equivalence with respect to risk) locally best estimator is admissible. In particular, any linear estimator being locally best in the relative interior of the canonical parameter set is admissible. Also, basing on a well-known necessary condition for admissibility, he shows that any admissible linear estimator may be presented as a limit of estimators being locally best in the relative interior. And then, he shows that any unique (up to equivalence with respect to risk) locally best estimators and their limits constitute a complete class, but not a minimal complete class.
- A canonical form for the general linear model
- Admissibility in linear estimation
- Convex Analysis
- Estimation of parameters in a linear model
- scientific article; zbMATH DE number 4018098 (Why is no real title available?)
- scientific article; zbMATH DE number 3707613 (Why is no real title available?)
- scientific article; zbMATH DE number 6791309 (Why is no real title available?)
- scientific article; zbMATH DE number 3246773 (Why is no real title available?)
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- Admissible linear estimators in mixed linear models
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