JAMES-STEIN RULE ESTIMATORS IN LINEAR REGRESSION MODELS WITH MULTIVARIATE-t DISTRIBUTED ERROR

DOI10.1111/j.1467-842X.1991.tb00422.xzbMath0781.62107MaRDI QIDQ4029931

Publication date: 1 April 1993

Published in: Australian Journal of Statistics (Search for Journal in Brave)

bias risk dominance variance-covariance matrix mean square error matrix general quadratic loss James-Stein type estimators double \(k\)-class estimators jointly multivariate Student-\(t\) distribution minumum variance unbiased estimator nonstochastic scalars

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (16)

Improved estimation of the mean vector for student-t model ⋮ A generalized class of estimators in linear regression models with multivariate-\(t\) distributed error ⋮ Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion ⋮ PMSE performance of two different types of preliminary test estimators under a multivariate t error term ⋮ The bias and risk functions of some Stein-rules in elliptically contoured distributions ⋮ Inconsistency of estimate of the degree of freedom of multivariate Student-\(t\) disturbances in linear regression models ⋮ Stein type confidence interval of the disturbance variance in a linear regression model with multivariate student-t distributed errors ⋮ Improved preliminary test and Stein-rule Liu estimators for the ill-conditioned elliptical linear regression model ⋮ MSE performance of the 2SHI estimator in a regression model with multivariate \(t\) error terms ⋮ On shrinkage estimators in matrix variate elliptical models ⋮ Estimation of a scale parameter in mixture models with unknown location ⋮ Stein-type improvement under stochastic constraints: use of multivariate Student-\(t\) model in regression ⋮ MSE performance and minimax regret significance points for a HPT estimator under a multivariate t error distribution ⋮ Estimation of the Trace of the Scale Matrix of the Scale Mixture of Multivariate Normal Distributions ⋮ Stein estimation -- a review ⋮ Estimation of the characteristic roots of the scale matrix

This page was built for publication: JAMES-STEIN RULE ESTIMATORS IN LINEAR REGRESSION MODELS WITH MULTIVARIATE-t DISTRIBUTED ERROR