A Monte Carlo comparison of traditional and Stein-rule estimators under squared error loss

DOI10.1016/0304-4076(76)90038-5zbMath0351.62050MaRDI QIDQ1235478

Thomas A. Yancey, George G. Judge

Publication date: 1976

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2027/uiug.30112070692675

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

65C05: Monte Carlo methods

Related Items

Small sample performance of the Stein-rule in non-orthogonal designs, Generalized ridge regression, least squares with stochastic prior information, and Bayesian estimators, The exact general fomulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators.

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