Improved variance estimation under sub-space restriction

DOI10.1016/J.JMVA.2009.02.002MaRDI QIDQ1026362zbMATH OpenOpenAlexFDO

Authors J. Blot

Publication date 24 June 2009

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2009.02.002

zbMATH Keywords

Stein-type estimatorrestricted estimatorpreliminary test estimatorinverse Wishart distributionmultivariate Student-\(t\) distribution

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Parametric inference under constraints (62F30)

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Cites work

• scientific article; zbMATH DE number 5563734 (Why is no real title available?)
• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
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• Developments in decision-theoretic variance estimation. With comments and a rejoinder by the authors
• Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
• Estimation and decision for linear systems with elliptical random processes
• Estimation of the error variance after a preliminary-test of homogeneity in a regression model with spherically symmetric disturbances
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• Mathematical properties of the multivariate \(t\) distribution
• On Biases in Estimation Due to the Use of Preliminary Tests of Significance
• On some characterizations of the \(t\)-distribution
• On the Robustness of LM, LR, and W Tests in Regression Models
• Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
• Predictivistic characterizations of multivariate Student-\(t\) models
• Stein-type improvement under stochastic constraints: use of multivariate Student-t model in regression
• Theory of Preliminary Test and Stein‐Type Estimation With Applications

Cited in

(12)

• Shrinkage estimation under multivariate elliptic models
• Improving the estimators of the parameters of a probit regression model: a ridge regression approach
• Improved ridge regression estimators for the logistic regression model
• Improved estimation in elliptical linear mixed measurement error models
• Shrinkage ridge estimators in semiparametric regression models
• Comparisons of variance estimators in a misspecified linear model with elliptically contoured errors
• On some ridge regression estimators: a nonparametric approach
• Improved preliminary test and Stein-rule Liu estimators for the ill-conditioned elliptical linear regression model
• On Liu-type biased estimators in measurement error models
• Using Improved Robust Estimators to Semiparametric Model with High Dimensional Data
• Some improved estimation strategies in high-dimensional semiparametric regression models with application to riboflavin production data
• Preliminary test estimators induced by three large sample tests for stochastic constraints in a regression model with multivariate Student-\(t\) error

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