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

DOI10.1111/J.1467-842X.1991.TB00422.XMaRDI QIDQ4029931zbMATH OpenFDO

Authors R. S. Singh

Publication date 1 April 1993

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

zbMATH Keywords

biasriskvariance-covariance matrixdominancemean square error matrixgeneral quadratic lossJames-Stein type estimatorsdouble \(k\)-class estimatorsjointly multivariate Student-\(t\) distributionminumum variance unbiased estimatornonstochastic scalars

Mathematics Subject Classification ID

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

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Cited in

(19)

• Stein estimation -- a review
• Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion
• Estimation of the characteristic roots of the scale matrix
• MSE performance of the 2SHI estimator in a regression model with multivariate \(t\) error terms
• A generalized class of estimators in linear regression models with multivariate-t distributed error
• James-Stein estimators for time series regression models
• Stein-type improvement under stochastic constraints: use of multivariate Student-t model in regression
• Improved estimation of the mean vector for student-t model
• Stein type confidence interval of the disturbance variance in a linear regression model with multivariate student-t distributed errors
• On shrinkage estimators in matrix variate elliptical models
• Inconsistency of estimate of the degree of freedom of multivariate Student-\(t\) disturbances in linear regression models
• MSE performance and minimax regret significance points for a HPT estimator under a multivariate \(t\) error distribution
• PMSE performance of two different types of preliminary test estimators under a multivariate \(t\) error term
• Improved preliminary test and Stein-rule Liu estimators for the ill-conditioned elliptical linear regression model
• The bias and risk functions of some Stein-rules in elliptically contoured distributions
• Estimation of the Trace of the Scale Matrix of the Scale Mixture of Multivariate Normal Distributions
• scientific article; zbMATH DE number 4060560 (Why is no real title available?)
• Approximate Bayesian estimator for the parameter vector in linear models with multivariate t distribution errors
• Estimation of a scale parameter in mixture models with unknown location

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