On characterization of linear admissible estimators: An extension of a result due to C. R. Rao

Stefan Zontek

Journal of Multivariate Analysis, 1987, vol. 23, issue 1, 1-12

Abstract: Defined is a class of models which have the following property: If L'Y is an admissible estimator of C'EY among linear estimators, then there exists a matrix H such that L = HC and H'Y is an admissible estimator of EY. This class includes the regression model. A model which does not have this property is also constructed. The result is an extension of a result established by C. R. Rao for the regression model with a positive definite covariance matrix.

Keywords: general; linear; model; linear; estimation; admissibility (search for similar items in EconPapers)
Date: 1987
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