All admissible linear estimators of a regression coefficient under a balanced loss function

Guikai Hu and Ping Peng

Journal of Multivariate Analysis, 2011, vol. 102, issue 8, 1217-1224

Abstract: Admissibility of linear estimators of a regression coefficient in linear models with and without the assumption that the underlying distribution is normal is discussed under a balanced loss function. In the non-normal case, a necessary and sufficient condition is given for linear estimators to be admissible in the space of homogeneous linear estimators. In the normal case, a sufficient condition is provided for restricted linear estimators to be admissible in the space of all estimators having finite risks under the balanced loss function. Furthermore, the sufficient condition is proved to be necessary in the normal case if additional conditions are assumed.

Keywords: Admissibility; Space; of; all; estimators; With; and; without; normality; assumption; Balanced; loss; function (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (7)

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