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

DOI10.2307/2526841MaRDI QIDQ3497102zbMATH OpenOpenAlexFDO

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

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)

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• scientific article; zbMATH DE number 3940461

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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