On admissibility in estimating the mean squared error of a linear estimator
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Zugriff:
Consider a linear estimator of a parametric vector Cß in the normal Gauss-Markov model Y ~ N {Xß, σV). The Mean Squared Error of such an estimator may be presented in the form kσ+ß' X' KXß and may be estimated by quadratics in Y Some basic decision-theoretic questions in the estimation are discussed. Among others, some admissible estimators of the MSE in several classes of the quadratics are given.
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On admissibility in estimating the mean squared error of a linear estimator
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Autor/in / Beteiligte Person: | Stępniak, Czesław |
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Medientyp: | serialPeriodical |
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