MSE performance of a heterogeneous pre-test estimator

DOI10.1016/S0167-7152(98)00123-0zbMATH Open0933.62062OpenAlexW2026274663MaRDI QIDQ1304086FDOQ1304086

Authors: Kazuhiro Ohtani 

Publication date: 6 April 2000

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

Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00123-0

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zbMATH Keywords

MSEadjusted minimum mean-squared error estimatorheterogeneous pre-test estimatorpositive-part Stein-rule estimator

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Admissibility in statistical decision theory (62C15)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimation with quadratic loss.
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution
• 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
• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
• The Minimum Mean Square Error Linear Estimator and Ridge Regression
• Improving on the James-Stein positive-part estimator
• 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
• Dominating james-stein positive-part estimator for normal mean with unknown covariance matrix
• Comparison of operational variants of Best homogeneous and heterogeneous estimators in linear regression

Cited In (14)

• Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances
• Estimating and testing effect size from an arbitrary population
• Stabilizing the performance of kurtosis estimator of multivariate data
• On the estimation of reliabilty function in a Weibull lifetime distribution
• MSE performance of the weighted average estimators consisting of shrinkage estimators
• MSE dominance of the pre-test iterative variance estimator over the iterative variance estimator in regression
• MSE performance and minimax regret significance points for a HPT estimator when each individual regression coefficient is estimated
• Finite sample properties of an HPT estimator when each individual regression coefficient is estimated in a misspecified linear regression model
• MSE performance of a heterogeneous pre-test ridge regression estimator
• PMSE performance of two different types of preliminary test estimators under a multivariate \(t\) error term
• Optimal pre-test estimators in regression
• MSE performance of the weighted average estimators consisting of shrinkage estimators when each individual regression coefficient is estimated
• A pre-test like estimator dominating the least-squares method
• MSE dominance of the PT-2SHI estimator over the positive-part Stein-rule estimator in regression

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