The admissible minimax estimator in Gauss–Markov model under a balanced loss function. Issue 2 (3rd March 2016)

• Record Type: Journal Article
• Authors: Peng, Ping; Hu, Guikai
• Is Part Of: Statistics. Volume 50:Issue 2(2016)
• Page Start: 271
• Page End: 277
• Publication Date: 2016-03-03
• Subjects: admissible minimax estimator -- Gauss–Markov model -- balanced loss function; 62C15 -- 62J12; Mathematical statistics -- Periodicals; 519.505
• DOI: 10.1080/02331888.2015.1050023
• Languages: English
• ISSNs: 0233-1888

Abstract

Abstract : In this paper, we investigate the admissible minimax estimator (AME) of regression coefficient in Gauss–Markov model under a balanced loss function. In the class of homogeneous linear estimators, we obtain the AME under two occasions, respectively. We also prove that the AME is a shrinkage estimator of the best linear unbiased estimator (BLUE). Furthermore, we prove that the AME dominates the BLUE under certain conditions.