Best invariant estimation of a direction parameter (Q1069240)

Let X be an \(n\times k\) random matrix whose coordinates are independently normally distributed with common variance \(\sigma^ 2\) and means given by \(EX=e\mu '+\theta \lambda '\), where e is the vector in \(R^ n\) having all coordinates equal to \(1,\theta \in R^ n\), and \(\mu,\lambda \in R^ k\) with \(\sum^{k}_{j=1}\lambda^ 2_ j=1.\) This paper studies the problem of estimating \(\lambda\), say by \({\hat \lambda}\), with loss function 1-(\(\lambda\) '\({\hat \lambda}\)) when \(\mu\),\(\theta\) and \(\tau^ 2\) are unknown. It is shown that the largest principal component of \(X'X-n^{-1}X'ee'X\) is the best estimator invariant under rotations in \(R^ k\) and rotations in \(R^ n\) leaving e invariant and which is admissible.