The exact general fomulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators.
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Publication:2565041
DOI10.1016/0304-4076(95)01747-XzbMath1127.62381OpenAlexW2085497373MaRDI QIDQ2565041
Publication date: 7 January 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(95)01747-x
Related Items (7)
Minimum mean squared error estimation of each individual coefficient in a linear regression model ⋮ A sufficient condition for the MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated in a misspecified linear regression model ⋮ Stein estimation -- a review ⋮ MSE Performance and Minimax Regret Significance Points for a HPT Estimator when each Individual Regression Coefficient is Estimated ⋮ Inadmissibility of the Stein-rule estimator under the balanced loss function ⋮ MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated ⋮ On the use of the Stein variance estimator in the double \(k\) -class estimator when each individual regression coefficient is estimated
Cites Work
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- The approximate distribution function of the Stein-rule estimator
- A Monte Carlo comparison of traditional and Stein-rule estimators under squared error loss
- On the sampling distribution of improved estimators for coefficients in linear regression
- The exact distribution of the Stein-rule estimator
- Precision of individual estimators in simultaneous estimation of parameters
- Limiting the Risk of Bayes and Empirical Bayes Estimators--Part II: The Empirical Bayes Case
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