An iterative feasible minimum mean squared error estimator of the disturbance variance in linear regression under asymmetric loss

DOI10.1016/S0167-7152(99)00065-6zbMATH Open0934.62069MaRDI QIDQ1124989FDOQ1124989

Authors: Alan T. K. Wan, Hiroko Kurumai 

Publication date: 29 November 1999

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

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• Asymmetric risk of the Stein variance estimator under a misspecified linear regression model
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zbMATH Keywords

riskLINEX losserror varianceminimum mean squared error

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Statistical decision theory (62C99)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Bayesian Estimation and Prediction Using Asymmetric Loss Functions
• Title not available (Why is that?)
• Admissible estimation for finite population under the Linex loss function
• Operational variants of the minimum mean squared error estimator in linear regression models with non-spherical disturbances
• On an adjustment of degrees of freedom in the minimim mean squared error ertimator
• Exact small sample properties of an operational variant of the minimum mean squared error estimator
• Generalized ridge regression estimators under the LINEX loss function
• The Minimum Mean Square Error Linear Estimator and Ridge Regression
• Inadmissibility of the iterative Stein-rule estimator of the disturbance variance in a linear regression
• Simulation and Extension of a Minimum Mean Squared Error Estimator in Comparison with Stein's
• Minimum mean square error estimation in linear regression
• On the minimum mean squared error estimators in a regression model
• A note on almost unbiased generalized ridge regression estimator under asymmetric loss

Cited In (8)

• Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances
• Operational variants of the minimum mean squared error estimator in linear regression models with non-spherical disturbances
• Asymmetric risk of the Stein variance estimator under a misspecified linear regression model
• MSE dominance of the pre-test iterative variance estimator over the iterative variance estimator in regression
• On the sampling performance of an inequality pre-test estimator of the regression error variance under LINEX loss
• Minimax and \(\Gamma\)-minimax estimation for the Poisson distribution under LINEX loss when the parameter space is restricted
• New biased estimators under the LINEX loss function
• Minimax invariant estimator of continuous distribution function under LINEX loss

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