拟椭球等高分布下误差方差的二次型估计的可容许性

ADMISSIBILITY OF QUADRATIC ESTIMATORS OF ERROR VARIANCE IN QUASI ELLIPTICALY CONTOURED DISTRIBUTION

设有线性模型ｙ＝Ｘβ＋ε，误差ε服从拟椭球等高分布假设［５］。本文讨论了ｙ′Ａｙ（Ａ０）在平方损失下在Ｄ＝｛ｙ′Ａｙ，Ａ０｝估计类中可容许的条件。

Consider the linear model y=xβ+ε. The error is quasi elliptically contoured distribution. This paper discusses the admissibility of non negative quadratic estimation. The loss function is taken to be quadratic. When 1<rank(x)<n,the necessary and sufficient condition is obtained. When rank(x)=n, some sufficient conditions and some necessary conditions are obtained.