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Admissibility in general linear model with respect to an inequality constraint under balanced loss. (English) Zbl 1308.62013

Summary: Since A. Zellner [in: Statistical decision theory and related topics V. Proceedings of the fifth Purdue international symposium on statistical decision theory and related topics held at Purdue University, West Lafayette, IN (USA), June 14–19, 1992. New York: Springer-Verlag. 377–390 (1994; Zbl 0787.62035)] proposed the balanced loss function, many researchers have been attracted to the field concerned. In this paper, under a generalized balanced loss function, we investigate the admissibility of linear estimators of the regression coefficient in general Gauss-Markov model (GGM) with respect to an inequality constraint. The necessary and sufficient conditions that the linear estimators of regression coefficient function are admissible are established, in the class of homogeneous/inhomogeneous linear estimation, respectively.

MSC:

62C15 Admissibility in statistical decision theory
62J05 Linear regression; mixed models

Citations:

Zbl 0787.62035
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References:

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