Relative performance of stein-rule and preliminary test estimators in linear models least squares theory

DOI10.1080/03610928708829380zbMath0618.62075OpenAlexW1977005044MaRDI QIDQ4728054

Pranab Kumar Sen, A. K. Md. Ehsanes Saleh

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1080/03610928708829380

zbMATH Keywords

linear modelshrinkage estimationloss functionleast squares estimatorStein-rulepreliminary test estimationmultiple regression modelasymptotic risk-efficiencyasymptotic dominanceF-ratioPitman-type alternativesMahalanobis-distancesub- hypothesis testing

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (5)

On the asymptotic distributional risk properties of pre-test and shrinkage \(L_ 1\)-estimators ⋮ Performances of the Positive-Rule Stein-Type Ridge Estimator in a Linear Regression Model with Spherically Symmetric Error Distributions ⋮ Preliminary test estimation for spectra ⋮ Shrinkage estimation in general linear models ⋮ Multiple shrinkage estimators in multiple linear regression

Cites Work

• Unnamed Item
• Statistical decision theory and Bayesian analysis. 2nd ed
• Estimation of the mean of a multivariate normal distribution
• Minimax estimation of a normal mean vector for arbitrary quadratic loss and unknown covariance matrix
• A james-stein type detour of U-statistics
• Asymptotic Theory of Likelihood Ratio and Rank Order Tests in Some Multivariate Linear Models
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution

This page was built for publication: Relative performance of stein-rule and preliminary test estimators in linear models least squares theory