Bayesian linear unbiased estimator and its robustness under the matrix loss function

QIU Hong-bing; LUO Ji

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Jan. 2013

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QIU Hong-bing, LUO Ji. Bayesian linear unbiased estimator and its robustness under the matrix loss function[J]. Journal of East China Normal University (Natural Sciences), 2013, (1): 24-29, 53.

Citation:

QIU Hong-bing, LUO Ji. Bayesian linear unbiased estimator and its robustness under the matrix loss function[J]. Journal of East China Normal University (Natural Sciences), 2013, (1): 24-29, 53.

QIU Hong-bing, LUO Ji. Bayesian linear unbiased estimator and its robustness under the matrix loss function[J]. Journal of East China Normal University (Natural Sciences), 2013, (1): 24-29, 53.

Citation:

QIU Hong-bing, LUO Ji. Bayesian linear unbiased estimator and its robustness under the matrix loss function[J]. Journal of East China Normal University (Natural Sciences), 2013, (1): 24-29, 53.

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Bayesian linear unbiased estimator and its robustness under the matrix loss function

QIU Hong-bing¹,
LUO Ji²

1.
School of Applied Mathematics, Guangdong University of Technology, Guangzhou 510520, China;
2.
School of Mathematics and Statistics School, Zhejiang University of Finance and Economics, Hangzhou 310018, China

Received Date: 2011-10-01
Rev Recd Date: 2012-02-01
Publish Date: 2013-01-25

Abstract

Abstract

It was proved that the Bayesian linear unbiased estimator of the unknown parameters in a general linear model under the quadratic loss function is also the Bayesian linear unbiased estimator under the matrix loss function. The robustness of the Bayesian linear unbiased estimator of the unknown parameter in terms of error distributions was also discussed; moreover, the necessary and sufficient conditions are obtained, under which the Bayesian linear unbiased estimator of the unknown parameters hold its optimality.
- linear model,
- Bayesian linear unbiased estimator,
- robustness

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References(1)

References

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