Matrix linear minimax estimators in a general multivariate linear model under a balanced loss function

Guikai Hu and Ping Peng

Journal of Multivariate Analysis, 2012, vol. 111, issue C, 286-295

Abstract: This article investigates the minimaxity of matrix linear estimators of regression coefficient matrix in a general multivariate linear model with a nonnegative definite covariance matrix allowing for relations between the covariance matrix and the design matrix under a balanced loss function. In a subset of all matrix linear estimators, matrix linear minimax estimators are obtained and proved to be unique almost surely on the suitable hypotheses.

Keywords: Balanced loss function; General multivariate linear model; Linear minimax estimator (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.jmva.2012.04.004

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