An MSE comparison of the restricted Stein-rule and minimum mean squared error estimators in regression

DOI10.1007/BF02565118MaRDI QIDQ1305258zbMATH OpenFDO

Authors Kazuhiro Ohtani

Publication date 8 May 2000

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02565118

zbMATH Keywords

linear restrictionsmean squared errorminimum mean squared error estimatorsrestricted estimatorStein-rule estimators

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

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• Comparison of operational variants of Best homogeneous and heterogeneous estimators in linear regression
• Estimation with quadratic loss.
• Exact small sample properties of an operational variant of the minimum mean squared error estimator
• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• scientific article; zbMATH DE number 4060560 (Why is no real title available?)
• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• scientific article; zbMATH DE number 233052 (Why is no real title available?)
• scientific article; zbMATH DE number 3350922 (Why is no real title available?)
• Minimum mean square error estimation in linear regression
• On the minimum mean squared error estimators in a regression model
• Predictive efficiency of improved estimators in restricted regression models
• Shrinkage estimators under spherical symmetry for the general linear model
• Simulation and Extension of a Minimum Mean Squared Error Estimator in Comparison with Stein's
• Stein estimation for non-normal spherically symmetric location families in three dimensions
• The Minimum Mean Square Error Linear Estimator and Ridge Regression

Cited in

(9)

• Asymptotic mean squared error of constrained James-Stein estimators
• 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
• scientific article; zbMATH DE number 1054388 (Why is no real title available?)
• Improved Estimation of Coefficient Vector in a Regression Model
• MSE performance of the weighted average estimators consisting of shrinkage estimators
• MSE performance of the 2SHI estimator in a regression model with multivariate t error terms
• A class of general pretest estimators for the univariate normal mean
• MSE superiority of the unrestricted Stein-rule estimator in a regression model with a possible structural break

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