Inadmissibility of the iterative Stein-rule estimator of the disturbance variance in a linear regression

DOI10.1016/0165-1765(87)90180-7zbMath1328.62057OpenAlexW2041460946MaRDI QIDQ899962

Kazuhiro Ohtani

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(87)90180-7

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Admissibility in statistical decision theory (62C15)

Related Items (4)

An iterative feasible minimum mean squared error estimator of the disturbance variance in linear regression under asymmetric loss ⋮ The effects of the proxy information on the iterative Stein-rule estimator of the disturbance variance ⋮ A note on the performance of biased estimators with autocorrelated errors ⋮ Comparison of the Iterative Stein-Rule and the Usual Estimators of the Disturbance Variance Under the Pitman Nearness Criterion in a Linear Regression Model with Proxy Variables

Cites Work

• Unnamed Item
• The approximate distribution function of the Stein-rule estimator
• The Minimum Mean Square Error Linear Estimator and Ridge Regression
• An Explicit Solution for Generalized Ridge Regression
• Simulation and Extension of a Minimum Mean Squared Error Estimator in Comparison with Stein's

This page was built for publication: Inadmissibility of the iterative Stein-rule estimator of the disturbance variance in a linear regression