Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances

DOI10.1007/s11424-012-0051-3zbMath1282.93238MaRDI QIDQ394450

Anoop Chaturvedi, Suchita Kesarwani

Publication date: 27 January 2014

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-012-0051-3

zbMATH Keywords

risk; large sample asymptotic; minimum Mean square error; non-spherical disturbances; Pitman nearness criterion quadratic loss

Mathematics Subject Classification ID

93C73: Perturbations in control/observation systems

93E10: Estimation and detection in stochastic control theory

93C05: Linear systems in control theory

Cites Work

• Pitman closeness for Stein-rule estimators of regression coefficients
• Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
• Estimation of regression coefficients of interest when other regression coefficients are of no interest: the case of non-normal errors
• Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted
• Robustness of Stein-type estimators under a non-scalar error covariance structure
• A short note on Pitman nearness for elliptically symmetric estimators
• An iterative feasible minimum mean squared error estimator of the disturbance variance in linear regression under asymmetric loss
• MSE performance of a heterogeneous pre-test estimator
• Minimum mean squared error estimation of each individual coefficient in a linear regression model
• Stein estimation -- a review
• Operational variants of the minimum mean squared error estimator in linear regression models with non-spherical disturbances
• The Stein paradox in the sense of the Pitman measure of closeness
• Risk and Pitman closeness properties of feasible generalized double \(k\)-class estimators in linear regression models with non-spherical disturbances under balanced loss function
• Minimum mean-squared error estimation in linear regression with an inequality constraint
• Inadmissibility of maximum likelihood estimators in some multiple regression problems with three or more independent variables
• On the harm that ignoring pretesting can cause
• On an adjustment of degrees of freedom in the minimim mean squared error ertimator
• Approximate Normality of Generalized Least Squares Estimates
• Unbiased estimation of the MSE matrices of improved estimators in linear regression
• Double k-Class Estimators of Coefficients in Linear Regression
• On the Sampling Performance of an Improved Stein Inequality Restricted Estimator
• Exact small sample properties of an operational variant of the minimum mean squared error estimator
• Estimation of Regression Coefficients of Interest when Other Regression Coefficients are of no Interest
• STEIN-RULE RESTRICTED REGRESSION ESTIMATOR IN A LINEAR REGRESSION MODEL WITH NONSPHERICAL DISTURBANCES
• On pitman nearness and variance of estimators
• The pitman nearness criterion and its determination
• SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS
• The non-optimality of interval restricted and pre-test estimators under squared error loss
• Stein-type improved estimation of standard error under asymmetric LINEX loss function
• Double \(k\)-class estimators in regression models with non-spherical disturbances
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item