Abstract
In this paper, we investigate the admissible minimax estimator (AME) of regression coefficient in Gauss–Markov model under a balanced loss function. In the class of homogeneous linear estimators, we obtain the AME under two occasions, respectively. We also prove that the AME is a shrinkage estimator of the best linear unbiased estimator (BLUE). Furthermore, we prove that the AME dominates the BLUE under certain conditions.
Acknowledgements
We would like to thank the editors and the referees for their helpful suggestions to improve our paper.
Disclosure statement
No potential conflict of interest was reported by the authors.