Estimation of Linear Regression Model with Random Coefficients Ensuring Almost Non-Negativity of Variance Estimators

For a linear regression model with random coefficients, this paper considers the estimation of the mean of coefficient vector which, in turn, involves the estimation of variances of random coefficients. The conventional estimation methods for it sometimes provides negative estimates. In order to circumvent this kind of difficulty, a proposal is forwarded and is examined in the light of existing ones.