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On characterization of linear admissible estimators: An extension of a result due to C. R. Rao

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  • Zontek, Stefan

Abstract

Defined is a class of models which have the following property: If L'Y is an admissible estimator of C'EY among linear estimators, then there exists a matrix H such that L = HC and H'Y is an admissible estimator of EY. This class includes the regression model. A model which does not have this property is also constructed. The result is an extension of a result established by C. R. Rao for the regression model with a positive definite covariance matrix.

Suggested Citation

  • Zontek, Stefan, 1987. "On characterization of linear admissible estimators: An extension of a result due to C. R. Rao," Journal of Multivariate Analysis, Elsevier, vol. 23(1), pages 1-12, October.
    • Handle: RePEc:eee:jmvana:v:23:y:1987:i:1:p:1-12
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