Xu, Li Wen et Wang, Song Gui, The Minimax Estimator of Stochastic Regression Coefficients and Parameters in the Class of All Estimators, Acta mathematica Sinica. English series (Print) , 23(3), 2007, pp. 497-506
In this paper, the authors address the problem of the minimax estimator of linear combinations of stochastic regression coefficients and parameters in the general normal linear model with random effects. Under a quadratic loss function, the minimax property of linear estimators is investigated. In the class of all estimators, the minimax estimator of estimable functions, which is unique with probability 1, is obtained under a multivariate normal distribution.