Minimax estimator of regression coefficient in normal distribution under balanced loss function |
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Authors: | Guikai Hu Qingguo Li Ping Peng |
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Affiliation: | 1. School of Mathematics and Econometrics, Hunan University, Changsha 410082, China;2. School of Science, East China Institute of Technology, Fuzhou 344000, China |
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Abstract: | This article investigates linear minimax estimators of regression coefficient in a linear model with an assumption that the underlying distribution is a normal one with a nonnegative definite covariance matrix under a balanced loss function. Some linear minimax estimators of regression coefficient in the class of all estimators are obtained. The result shows that the linear minimax estimators are unique under some conditions. |
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