Operational variants of the minimum mean squared error estimator in linear regression models with non-spherical disturbances

DOI10.1023/A:1004169923370MaRDI QIDQ1585891zbMATH OpenOpenAlexFDO

Authors Alan T. K. Wan, Anoop Chaturvedi

Publication date 8 January 2003

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1004169923370

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20)

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Cited in

(9)

• STEIN-RULE RESTRICTED REGRESSION ESTIMATOR IN A LINEAR REGRESSION MODEL WITH NONSPHERICAL DISTURBANCES
• Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances
• Improved multivariate prediction in a general linear model with an unknown error covariance matrix.
• Properties of ordinary least squares estimators in regression models with nonspherical disturbances
• Shrinkage estimation in spatial autoregressive model
• An iterative feasible minimum mean squared error estimator of the disturbance variance in linear regression under asymmetric loss
• SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS
• Feasible generalized Stein-rule restricted ridge regression estimators
• Comparison of operational variants of Best homogeneous and heterogeneous estimators in linear regression

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