Inadmissibility of the Stein-rule estimator under the balanced loss function

DOI10.1016/S0304-4076(98)00030-XzbMath0933.62008MaRDI QIDQ1305684

Kazuhiro Ohtani

Publication date: 2 April 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Stein-rule estimator; inadmissibility; balanced loss function; Stein variance estimator

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

62C15: Admissibility in statistical decision theory

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Cites Work

• Improved estimation of the disturbance variance in a linear regression model
• Further improving the Stein-rule estimator using the Stein variance estimator in a misspecified linear regression model
• Improving the James-Stein estimator using the Stein variance estimator
• Generalized ridge regression estimators under the LINEX loss function
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• The exact general fomulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators.
• The exact risks of some pre-test and stein-type regression estimators umder balanced loss
• Bayesian Estimation and Prediction Using Asymmetric Loss Functions
• Preliminary-test estimation of the regression scale parameter when the loss function is asymmetric
• Weighted balanced loss function and estimation of the mean time to failure
• Risk comparison of the inequality constrained least squares and other related estimators under balanced loss
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