Preliminary-test estimation of the regression scale parameter when the loss function is asymmetric

DOI10.1080/03610929308831112zbMath0784.62057OpenAlexW2049707119MaRDI QIDQ4275753

Judith A. Giles, David E. A. Giles

Publication date: 20 January 1994

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/263005/files/canterbury-nz-037.pdf

zbMATH Keywords

LINEX loss functionquadratic lossconditional inferencescale parameterrisk propertiesasymmetric penaltyexact risk of estimators of the error variancepreliminary test for exact linear restrictions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items (16)

Stabilizing the Performance of Kurtosis Estimator of Multivariate Data ⋮ ADMISSIBILITY OF BAYES ESTIMATES UNDER BLINEX LOSS FOR THE NORMAL MEAN PROBLEM ⋮ Generalized ridge regression estimators under the LINEX loss function ⋮ Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss ⋮ Estimating the error variance after a pre-test for an inequality restriction on the coefficients ⋮ The exact distribution and density functions of a pre-test estimator of the error variance in a linear regression model with proxy variables ⋮ Performance of double \(k\)-class estimators for coefficients in linear regression models with non-spherical disturbances under asymmetric losses ⋮ Stein-type improved estimation of standard error under asymmetric LINEX loss function ⋮ Risk performance of a pre-test estimator for normal variance with the Stein-variance estimator under the LINEX loss function ⋮ Stein estimation -- a review ⋮ Performance of Preliminary Test Estimator Under Linex Loss Function ⋮ The exact risks of some pre-test and stein-type regression estimators umder balanced loss ⋮ On the sampling performance of an inequality pre-test estimator of the regression error variance under LINEX loss ⋮ Inadmissibility of the Stein-rule estimator under the balanced loss function ⋮ Pre-test estimation in regression under absolute error loss ⋮ Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure

Cites Work

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