有约束的多元线性回归模型的Minimax估计

Minimax estimation in multivariate linear regression model under restrictions

在损失函数tr(■-B)′A(■-B)下给出B在线性估计类中的Minimax估计,研究了其性质.在一些特殊的情形下,该估计包括了多元功效岭回归估计(Ridge regression estimation),多元Stein估计等.

In this paper, a multivariate Minimax estimation in all linear estimators under the loss function tr（ -B） ＇A （B- B） is derived. We consider its properties. In special case, the multivariate Minimax estimation includes power Ridge regression , Stein＇ s estimator and so on.