MSE performance and minimax regret significance points for a HPT estimator under a multivariate t error distribution

DOI10.1080/03610926.2015.1056364MaRDI QIDQ4976196zbMATH OpenOpenAlexFDO

Authors Haifeng Xu

Publication date 27 July 2017

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

Full work available at URL https://doi.org/10.1080/03610926.2015.1056364

zbMATH Keywords

multivariate \(t\) distributionMSE performancefeasible ridge regression estimatorheterogeneous preliminary test estimatoroptimal critical value

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• scientific article; zbMATH DE number 3626442 (Why is no real title available?)
• Comparison of operational variants of Best homogeneous and heterogeneous estimators in linear regression
• Double k-Class Estimators of Coefficients in Linear Regression
• Estimation of error variance in linear regression models with errors having multivariate Student-\(t\) distribution with unknown degrees of freedom
• Estimation of the parameters of a regression model with a multivariate t error variable
• Improving the estimation precision for a selected parameter in multiple regression analysis: An algebraic approach
• JAMES-STEIN RULE ESTIMATORS IN LINEAR REGRESSION MODELS WITH MULTIVARIATE-t DISTRIBUTED ERROR
• MSE performance and minimax regret significance points for a HPT estimator when each individual regression coefficient is estimated
• Minimax Regret Significance Points for a Preliminary Test in Regression Analysis
• Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
• Preliminary test ridge regression estimators with Student's \(t\) errors and conflicting test-statis\-tics
• The exact general formulas for the moments of a ridge regression estimator when the regression error terms follow a multivariate \(t\) distribution
• The general expressions for the moments of lawless and wang's ordinary ridge regression estimator
• The matrix-\(t\) distribution and its applications in predictive inference

Cited in

(5)

• MSE performance of the 2SHI estimator in a regression model with multivariate \(t\) error terms
• MSE performance and minimax regret significance points for a HPT estimator when each individual regression coefficient is estimated
• Finite sample properties of an HPT estimator when each individual regression coefficient is estimated in a misspecified linear regression model
• PMSE performance of two different types of preliminary test estimators under a multivariate \(t\) error term
• MSE performance of the weighted average estimators consisting of shrinkage estimators when each individual regression coefficient is estimated

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