Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted

DOI10.1007/s00362-007-0047-6zbMath1312.62126MaRDI QIDQ1019428

Kazuhiro Ohtani, Alan T. K. Wan

Publication date: 2 June 2009

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-007-0047-6

zbMATH Keywords

omitted variables; Pitman nearness; Stein variance estimator

Mathematics Subject Classification ID

62N02: Estimation in survival analysis and censored data

Related Items

Comparison of the Iterative Stein-Rule and the Usual Estimators of the Disturbance Variance Under the Pitman Nearness Criterion in a Linear Regression Model with Proxy Variables, Asymptotic Pitman's Relative Efficiency, Model selection and parameter estimation of a multinomial logistic regression model, Application of shrinkage estimation in linear regression models with autoregressive errors, Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances, Comparisons of variance estimators in a misspecified linear model with elliptically contoured errors, A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted

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