Admissibilities of linear estimator in a class of linear models with a multivariate t error variable

doi:10.1007/s11425-010-4050-3

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	Admissibilities of linear estimator in a class of linear models with a multivariate t error variable
	Yang GuoQing 1; Wu QiGuang 2
	2010-08-01
发表期刊	SCIENCE CHINA-MATHEMATICS
ISSN	1674-7283
卷号	53 期号:8 页码:2011-2019
摘要	This paper discusses admissibilities of estimators in a class of linear models, which include the following common models: the univariate and multivariate linear models, the growth curve model, the extended growth curve model, the seemingly unrelated regression equations, the variance components model, and so on. It is proved that admissible estimators of functions of the regression coefficient beta in the class of linear models with multivariate t error terms, called as Model II, are also ones in the case that error terms have multivariate normal distribution under a strictly convex loss function or a matrix loss function. It is also proved under Model II that the usual estimators of beta are admissible for p <= 2 with a quadratic loss function, and are admissible for any p with a matrix loss function, where p is the dimension of beta.
关键词	multivariate t distribution convex loss quadratic loss matrix loss admissible estimator
DOI	10.1007/s11425-010-4050-3
语种	英语
资助项目	National Natural Science Foundation of China[10871146] ; National Natural Science Foundation of China[10771015]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000281011200010
出版者	SCIENCE PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/10135
专题	中国科学院数学与系统科学研究院
通讯作者	Yang GuoQing
作者单位	1.Tongji Univ, Dept Math, Shanghai 200092, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Yang GuoQing,Wu QiGuang. Admissibilities of linear estimator in a class of linear models with a multivariate t error variable[J]. SCIENCE CHINA-MATHEMATICS,2010,53(8):2011-2019.
APA	Yang GuoQing,&Wu QiGuang.(2010).Admissibilities of linear estimator in a class of linear models with a multivariate t error variable.SCIENCE CHINA-MATHEMATICS,53(8),2011-2019.
MLA	Yang GuoQing,et al."Admissibilities of linear estimator in a class of linear models with a multivariate t error variable".SCIENCE CHINA-MATHEMATICS 53.8(2010):2011-2019.