MSE dominance of the pre-test iterative variance estimator over the iterative variance estimator in regression

DOI10.1016/S0167-7152(01)00131-6zbMath0987.62047OpenAlexW2077602210WikidataQ128066413 ScholiaQ128066413MaRDI QIDQ5953986

Kazuhiro Ohtani

Publication date: 30 June 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(01)00131-6

zbMATH Keywords

iterative variance estimatorpre-testregression error variance

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Admissibility in statistical decision theory (62C15)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• An iterative feasible minimum mean squared error estimator of the disturbance variance in linear regression under asymmetric loss
• Pre-test double \(k\)-class estimators in linear regression
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• On an adjustment of degrees of freedom in the minimim mean squared error ertimator
• The Minimum Mean Square Error Linear Estimator and Ridge Regression
• Simulation and Extension of a Minimum Mean Squared Error Estimator in Comparison with Stein's
• Double k-Class Estimators of Coefficients in Linear Regression