PMSE performance of two different types of preliminary test estimators under a multivariate t error term

DOI10.1080/03610926.2018.1494286MaRDI QIDQ5076902zbMATH OpenOpenAlexFDO

Authors Haifeng Xu, Kazuhiro Ohtani

Publication date 17 May 2022

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

Full work available at URL https://doi.org/10.1080/03610926.2018.1494286

zbMATH Keywords

heterogeneous preliminary test estimatorhomogeneous preliminary test estimatormultivariate \(t\) error termpredictive mean squared error

Mathematics Subject Classification ID

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

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Cites work

• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Comparison of operational variants of Best homogeneous and heterogeneous estimators 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
• Estimation with quadratic loss.
• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• scientific article; zbMATH DE number 3626442 (Why is no real title available?)
• scientific article; zbMATH DE number 3350922 (Why is no real title available?)
• 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
• MSE performance of a heterogeneous pre-test estimator
• On an adjustment of degrees of freedom in the minimim mean squared error ertimator
• PMSE PERFORMANCE OF THE BIASED ESTIMATORS IN A LINEAR REGRESSION MODEL WHEN RELEVANT REGRESSORS ARE OMITTED
• Pre-test double \(k\)-class estimators in linear regression
• Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
• Robust Statistics
• Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances
• The exact general formulas for the moments of a ridge regression estimator when the regression error terms follow a multivariate t distribution
• The matrix-\(t\) distribution and its applications in predictive inference
• The Minimum Mean Square Error Linear Estimator and Ridge Regression

Cited in

(2)

• MSE performance of a heterogeneous pre-test estimator
• MSE performance and minimax regret significance points for a HPT estimator under a multivariate \(t\) error distribution

Describes a project that uses

Uses Software

• robustbase
• AS 181

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