Double shrinkage estimation of common coefficients in two regression equations with hetersocedasticity

DOI10.1006/JMVA.1998.1763MaRDI QIDQ1275411zbMATH OpenOpenAlexFDO

Authors Tatsuya Kubokawa

Publication date 10 March 1999

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmva.1998.1763

zbMATH Keywords

estimating common regression coefficientsfeasible generalized least squaresheteroscedastic linear modelsinadmissibility

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Review text

The admissibility of feasible generalized least squares estimators of the common regression coefficients in two linear regression equations with different unknown error variances is considered. It is proved that the FGLS estimators are inadmissible in light of minimizing the covariance matrices if the dimension of the common regression coefficients is greater than or equal to three. Double shrinkage unbiased estimators are proposed as possible candidates of improved procedures.

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Cited in

(4)

• Existence conditions for the uniformly minimum risk unbiased estimators in a class of linear models
• Heteroscedasticity diagnostics in two-phase linear regression models
• A theorem on the covariance matrix of a generalized least squares estimator under an elliptically symmetric error
• Goodness of fit for generalized shrinkage estimation

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