| 矩阵损失下随机回归系数和参数的线性Minimax估计 |
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| 引用本文： | 喻胜华,何灿芝.矩阵损失下随机回归系数和参数的线性Minimax估计[J].经济数学,2001,18(3):21-28. |
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| 作者姓名： | 喻胜华 何灿芝 |
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| 作者单位： | 湖南大学数学与计量经济学院,长沙,410082 |
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| 摘 要： | 对于一般的随机效应线性模型Y=Xβ+ε,这里β和ε分别是p维和n维的随机向量,且E(βε)=(Aa0),Cov(βε)=σ2(V10
0V2),(Vi≥0,i=1,2)我们定义了Sα+Qβ的线性Minimax估计,在一定条件下得到了Sα+Qβ在线性估计类中的Minimax估计,并在几乎处处意义下证明了它的唯一性.
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| 关 键 词： | 线性可估函数 矩阵损失函数 随机回归系数 极大极小估计 |
THE LINEAR MINIMAX
ESTIMATOR OF STOCHASTIC REGRESSION COEFFICIENTS AND PARAMETERS UNDER MATRIX LOSS FUNCTION |
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| Abstract.THE LINEAR MINIMAX
ESTIMATOR OF STOCHASTIC REGRESSION COEFFICIENTS AND PARAMETERS UNDER MATRIX LOSS FUNCTION[J].Mathematics in Economics,2001,18(3):21-28. |
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| Authors: | Abstract |
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| Abstract: | For the general stochastic effects linear model Y=Xβ+ε where β and ε are p-dimensional and n-dimensional unobservable randomvectors respectively with E(βε)= (Aα0)and Cov(βε) =σ2( V10 0 V2)(Vi≥0, i = 1, 2), we define the linear minimax estimator of Sα +Qβ. Under some restrictions, the minimax estimator of Sα+Qβ in the class of linear estimators, which is unique with probability 1, is obtained. |
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| Keywords: | and phrases linear estimable function matrix loss function stochastic regression coefficients minimax estimator |
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