Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion
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Publication:849899
DOI10.1007/s00362-006-0321-zzbMath1134.62346MaRDI QIDQ849899
Publication date: 15 November 2006
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-006-0321-z
62H12: Estimation in multivariate analysis
62J07: Ridge regression; shrinkage estimators (Lasso)
62J05: Linear regression; mixed models
Related Items
Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted, Risk comparison of improved estimators in a linear regression model with multivariate \(t\) errors under balanced loss function, Shrinkage estimation in system regression model, Finite sample properties of an HPT estimator when each individual regression coefficient is estimated in a misspecified linear regression model
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