PMSE performance of the Stein-rule and positive-part Stein-rule estimators in a regression model with or without proxy variables

DOI10.1016/J.SPL.2005.10.022MaRDI QIDQ2493852zbMATH OpenOpenAlexFDO

Authors Akio Namba, Kazuhiro Ohtani

Publication date 16 June 2006

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

Full work available at URL https://doi.org/10.1016/j.spl.2005.10.022

zbMATH Keywords

predictive mean squared errorproxy variablesStein-rule estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Recommendations

• PMSE PERFORMANCE OF THE BIASED ESTIMATORS IN A LINEAR REGRESSION MODEL WHEN RELEVANT REGRESSORS ARE OMITTED
• Properties of the ordinary least squares and stein-rule predictions in linear regression models with proxy variables
• The iterative Stein rule estimator of the disturbance variance in a linear regression model when the proxy variables are used
• PMSE dominance of the positive-part shrinkage estimator in a regression model when relevant regressors are omitted.
• Mes performance of the minimum mean squared error estimators in a linear regression model when relevant regressors are omitted

Cites work

• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
• A Note on the Use of Proxy Variables
• Dropping variables versus use of proxy variables in linear regression
• Estimation with quadratic loss.
• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• Mes performance of the minimum mean squared error estimators in a linear regression model when relevant regressors are omitted
• PMSE dominance of the positive-part shrinkage estimator in a regression model when relevant regressors are omitted.
• PMSE PERFORMANCE OF THE BIASED ESTIMATORS IN A LINEAR REGRESSION MODEL WHEN RELEVANT REGRESSORS ARE OMITTED
• Relative Asymptotic Bias from Errors of Omission and Measurement

Cited in

(11)

• Robustness of Stein-type estimators under a non-scalar error covariance structure
• PMSE dominance of the positive-part shrinkage estimator in a regression model when relevant regressors are omitted.
• Dropping variables versus use of proxy variables in linear regression
• Linear minimax prediction of finite population regression coefficient under a balanced loss function
• The iterative Stein rule estimator of the disturbance variance in a linear regression model when the proxy variables are used
• The effects of the proxy information on the iterative Stein-rule estimator of the disturbance variance
• Properties of the ordinary least squares and stein-rule predictions in linear regression models with proxy variables
• Comparison of the iterative Stein-rule and the usual estimators of the disturbance variance under the Pitman nearness criterion in a linear regression model with proxy variables
• PMSE dominance of the positive-part shrinkage estimator in a regression model with proxy variables
• MSE superiority of the unrestricted Stein-rule estimator in a regression model with a possible structural break
• Expected MSE of errors-in-variables and omitted variables models

This page was built for publication: PMSE performance of the Stein-rule and positive-part Stein-rule estimators in a regression model with or without proxy variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2493852)