Admissibility in general Gauss–Markov model with respect to an ellipsoidal constraint under weighted balanced loss

Gang Liu and Hong Yin

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 4, 1054-1066

Abstract: Under weighted balanced loss function, we obtain the best linear unbiased estimator of regression coefficient in general Gauss–Markov model and discuss the admissibility of linear estimators of the regression coefficient with respect to an ellipsoidal constraint. We establish necessary and sufficient conditions for the admissibility of the linear estimators Ay(Ay+a) among the class of homogeneous and inhomogeneous linear estimators, respectively.

Date: 2022
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DOI: 10.1080/03610926.2020.1758140

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