Shrinkage Pre-Test Estimator of the Intercept Parameter for a Regression Model with Multivariate Student-t Errors (Q4340604)

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scientific article; zbMATH DE number 1019650
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Shrinkage Pre-Test Estimator of the Intercept Parameter for a Regression Model with Multivariate Student-t Errors
scientific article; zbMATH DE number 1019650

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    Shrinkage Pre-Test Estimator of the Intercept Parameter for a Regression Model with Multivariate Student-t Errors (English)
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    18 September 1997
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    inverted gamma
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    noncentral \(F\) distributions
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    incomplete beta distribution
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    mean square errors
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    unrestricted estimators
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    restricted estimators
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    multivariate Student-\(t\) error distribution
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    uncertain prior information
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    slope parameter
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    intercept parameter
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    simple regression model
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    shrinkage preliminary test maximum likelihood estimators
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    bias
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    mean square error
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    relative efficiences
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    maximin criterion
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    optimal significance level
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