The exact general fomulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators.

DOI10.1016/0304-4076(95)01747-XzbMath1127.62381MaRDI QIDQ2565041

Hideo Kozumi, Kazuhiro Ohtani

Publication date: 7 January 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

62J07: Ridge regression; shrinkage estimators (Lasso)

Related Items

A sufficient condition for the MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated in a misspecified linear regression model, Inadmissibility of the Stein-rule estimator under the balanced loss function, Minimum mean squared error estimation of each individual coefficient in a linear regression model, Stein estimation -- a review, On the use of the Stein variance estimator in the double \(k\) -class estimator when each individual regression coefficient is estimated, MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated, MSE Performance and Minimax Regret Significance Points for a HPT Estimator when each Individual Regression Coefficient is Estimated

Cites Work

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• On the sampling distribution of improved estimators for coefficients in linear regression
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• Precision of individual estimators in simultaneous estimation of parameters
• Limiting the Risk of Bayes and Empirical Bayes Estimators--Part II: The Empirical Bayes Case