Admissibility and inadmissibility of a generalized Bayes unbiased estimator in a multivariate linear model

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	Admissibility and inadmissibility of a generalized Bayes unbiased estimator in a multivariate linear model
	Noda, K ; Wu, QG ; Shimizu, K
	2001-02-01
发表期刊	JOURNAL OF STATISTICAL PLANNING AND INFERENCE
ISSN	0378-3758
卷号	93 期号:1-2 页码:197-210
摘要	This article considers the estimation of an estimable parametric matrix function for a multivariate linear model. The criterion for admissibility of a generalized Bayes unbiased matrix estimator is established for three different quadratic matrix loss functions. It turns out that the generalized Bayes matrix estimator is admissible provided that either the order of an unknown covariance matrix or the rank of the coefficient matrix of the estimable function is less than three. Using James-Stein-type matrix estimators also shows that if the admissibility criterion is not satisfied the estimators are inadmissible for one particular class of matrix loss functions. (C) 2001 Elsevier Science B.V. All rights reserved. MSG: 62C15; 62J07.
关键词	estimable matrix function parameter matrix matrix loss functions semiorder unknown covariance matrix James-Stein-type matrix estimators
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000166861200012
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/16744
专题	中国科学院数学与系统科学研究院
作者单位	1.Keio Univ, Fac Sci & Technol, Dept Math, Yokohama, Kanagawa 2238522, Japan 2.Meisei Univ, Fac Sci & Technol, Tokyo 1918506, Japan 3.Acad Sinica, Inst Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Noda, K,Wu, QG,Shimizu, K. Admissibility and inadmissibility of a generalized Bayes unbiased estimator in a multivariate linear model[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE,2001,93(1-2):197-210.
APA	Noda, K,Wu, QG,&Shimizu, K.(2001).Admissibility and inadmissibility of a generalized Bayes unbiased estimator in a multivariate linear model.JOURNAL OF STATISTICAL PLANNING AND INFERENCE,93(1-2),197-210.
MLA	Noda, K,et al."Admissibility and inadmissibility of a generalized Bayes unbiased estimator in a multivariate linear model".JOURNAL OF STATISTICAL PLANNING AND INFERENCE 93.1-2(2001):197-210.