MSE dominance of the PT-2SHI estimator over the positive-part Stein-rule estimator in regression

DOI10.1016/S0378-3758(00)00095-1zbMATH Open0954.62087MaRDI QIDQ1582368FDOQ1582368

Authors: Akio Namba 

Publication date: 18 February 2001

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

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• MSE performance of a heterogeneous pre-test estimator
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• MSE performance of the 2SHI estimator in a regression model with multivariate \(t\) error terms
• MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated
• MSE dominance of the pre-test iterative variance estimator over the iterative variance estimator in regression

zbMATH Keywords

numerical resultsmean squared errordominanceStein-rule estimatorpositive-part Stein-rule estimator2SHI estimatorpre-test 2SHI 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.
• MSE performance of a heterogeneous pre-test estimator
• On an adjustment of degrees of freedom in the minimim mean squared error ertimator
• 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
• Dominating james-stein positive-part estimator for normal mean with unknown covariance matrix

Cited In (6)

• MSE performance of the 2SHI estimator in a regression model with multivariate \(t\) error terms
• MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated
• 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 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

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