The Minimax Estimator of Stochastic Regression Coefficients and Parameters in the Class of All Estimators  

作　　者：Li Wen XU Song Gui WANG 

机构地区：[1]Department of Mathematics, Tsinghua University, Beijing 100084, P. R. China [2]College of Applied Sciences, Beijing University of Technology, Beijing 100022, P. R. China [3]College of Applied Sciences, Beijing University of Technology, Beijing 100022. P. R. China

出　　处：《Acta Mathematica Sinica,English Series》2007年第3期497-506,共10页数学学报（英文版）

基　　金：the National Natural Science Foundation of China(10271010);the Natural Science Foundation of Beijing(1032001)

摘　　要：In this paper, the authors address the problem of the minimax estimator of linear combinations of stochastic regression coefficients and parameters in the general normal linear model with random effects. Under a quadratic loss function, the minimax property of linear estimators is investigated. In the class of all estimators, the minimax estimator of estimable functions, which is unique with probability 1, is obtained under a multivariate normal distribution.In this paper, the authors address the problem of the minimax estimator of linear combinations of stochastic regression coefficients and parameters in the general normal linear model with random effects. Under a quadratic loss function, the minimax property of linear estimators is investigated. In the class of all estimators, the minimax estimator of estimable functions, which is unique with probability 1, is obtained under a multivariate normal distribution.

关 键 词：minimax estimator stochastic regression coefficients quadratic loss function normal linear model 

分 类 号：O211.67[理学—概率论与数理统计]