Improved estimation in lognormal regression models (Q1099910): Difference between revisions

Lognormal regression model with unknown error variance is considered. We give a class of estimators of the regression coefficients vector improving upon traditional estimator when the number of independent variables is at least three. The relationship between these estimators on one hand and James-Stein type estimators of the normal mean and improved estimators of the normal variance on another hand is discussed.