The approximate distribution function of the Stein-rule estimator

DOI10.1016/0165-1765(82)90070-2zbMATH Open1268.62021OpenAlexW2137630318MaRDI QIDQ356652FDOQ356652

Authors: Aman Ullah 

Publication date: 26 July 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(82)90070-2

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Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Estimation with quadratic loss.
• An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator
• Title not available (Why is that?)

Cited In (10)

• The optimal Stein estimation relative to concentration probability: a large sample approximation
• The exact distribution of the Stein-rule estimator
• The sampling distribution of shrinkage estimators and their F-ratios in the regression model
• Inadmissibility of the iterative Stein-rule estimator of the disturbance variance in a linear regression
• Model averaging: a shrinkage perspective
• A distribution function of the F-ratio when the Stein-rule estimator is used in place of the OLS estimator
• On a generalized stein estimator of regression coefficients
• The bias and risk functions of some Stein-rules in elliptically contoured distributions
• The exact general fomulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators.
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