The sampling distribution of shrinkage estimators and their F-ratios in the regression model (Q2266307)

In this paper we develop small-\(\sigma\) and large-T asymptotic expansions of the distribution functions of a family of adaptive shrinkage estimators and their F-ratios. We demonstrate that the small-sigma approximation is much more accurate than the large-T approximation. The small-\(\sigma\) approximate distribution function of the improved F-ratio is a weighted sum of central F distribution functions with varying degrees of freedom. This result is useful for forming confidence intervals and testing hypotheses using shrinkage estimators.