Shrinkage Estimation with General Loss Functions: An Application of Stochastic Dominace Theory

DOI10.2307/2526841zbMATH Open0711.62106OpenAlexW2115303723MaRDI QIDQ3497102FDOQ3497102

Authors: Richard A. Ashley 

Publication date: 1990

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2526841

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• scientific article; zbMATH DE number 3940461

zbMATH Keywords

stochastic dominanceloss functionsGaussianunbiased estimatorsShrinkage estimationbiased expectationsminimum MSE criterionneoclassical macroeconomic modelsshrinkage factor intervalunbiased linear projections

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cited In (3)

• Performance of double \(k\)-class estimators for coefficients in linear regression models with non-spherical disturbances under asymmetric losses
• Universal domination and stochastic domination: Estimation simultaneously under a broad class of loss functions
• General dominance properties of double shrinkage estimators for ratio of positive parameters

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