Admissible Linear Estimators with Respect to Inequality Constraints |
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Authors: | Chang-Yu Lu Jian-Hong Wu Bin-Yan Zhang |
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Institution: | 1. Financial Research Center , Shanghai Finance University , Shanghai, P.R. China changyu_2000@yahoo.com;3. Department of Statistics , East China Normal University , Shanghai, P.R. China;4. Department of Compute , Henan Vocational Technology College , Zhengzhou, P.R. China |
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Abstract: | Admissibility of linear estimators is characterized in linear models E(Y)=Xβ, D(Y)=V, with an unknown multidimensional parameter (β, V) varying in the Cartesian product C × ν, where C is a subset of space and ν is a given set of non negative definite symmetric matrices. The relation between admissibility of inhomogeneous and homogeneous linear estimators is discussed, and some sufficient and necessary conditions for admissibility of an inhomogeneous linear estimator are given. |
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Keywords: | Admissibility Homogeneous/inhomogeneous linear estimation Inequality constraint |
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