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WROCŁAW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 18, Fasc. 1,
pages 33 - 38
 

ON ADMISSIBILITY IN ESTIMATING THE MEAN SQUARED ERROR OF A LINEAR ESTIMATOR

Czesław Stępniak

Abstract: Consider a linear estimator of a parametric vector Cb in the normal Gauss-Markov model Y ~ N (Xb, sV). The Mean Squared Error of such an estimator may be presented in the form ks + b'X'KXb 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.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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