Admissible linear estimation in a general Gauss-Markov model with an incorrectly specified dispersion matrix
type: Item
instance of: scholarly article
title: Admissible linear estimation in a general Gauss-Markov model with an incorrectly specified dispersion matrix
zbMATH Open document ID: 0665.62011
DOI: 10.1016/0047-259X(88)90115-7
author: Jerzy K. Baksalary
author: Thomas Mathew
published in: Journal of Multivariate Analysis
publication date: 1988-01-01T00:00:00Z
review text: Necessary and sufficient conditions are established for the set of all admissible linear estimators under \({\mathbb{M}}_ 0\) to be contained in the corresponding set of estimators under \({\mathbb{M}}\), where \({\mathbb{M}}_ 0\) and \({\mathbb{M}}\) are general Gauss-Markov models with identical model matrices but different dispersion matrices. As preliminary results, certain new characterizations of admissible linear estimators are derived, including explicit expressions for the general representations of such estimators and extensions of the admissibility criteria given by \textit{C. R. Rao} [Ann. Statist. 4, 1023-1037 (1976; Zbl 0336.62055)] and \textit{W. Klonecki} and \textit{S. Zontek} [J. Multivariate Anal. 24, 11-30 (1988)].
Mathematics Subject Classification ID: 62C15
Mathematics Subject Classification ID: 62J05
zbMATH DE Number: 4088704
zbMATH Keywords: best linear unbiased estimator
zbMATH Keywords: quadratic risk
zbMATH Keywords: general Gauss-Markov models
zbMATH Keywords: characterizations of admissible linear estimators
MaRDI profile type: Publication
cites work: Admissible linear estimators in the general Gauss-Markov model
cites work: All Admissible Linear Estimates of the Mean Vector
cites work: Projectors and linear estimation in general linear models
cites work: On the structure of admissible linear estimators
cites work: Inequalities: theory of majorization and its applications
cites work: Optimality of BLUE's in a general linear model with incorrect design matrix
cites work: Admissible linear estimation in singular linear models
cites work: Q4403592
cites work: Q5646256
cites work: Estimation of parameters in a linear model
cites work: Q4199380
cites work: Q5645536
description: scientific article; zbMATH DE number 4088704