A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted

DOI10.1007/S11424-010-9087-4MaRDI QIDQ601897zbMATH OpenOpenAlexFDO

Authors Sherry Zhefang Zhou

Publication date 29 October 2010

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-010-9087-4

zbMATH Keywords

linear regression modelmodel misspecificationinequality restricted estimatorStein-rule estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Parametric inference under constraints (62F30)

Recommendations

• STEIN-RULE RESTRICTED REGRESSION ESTIMATOR IN A LINEAR REGRESSION MODEL WITH NONSPHERICAL DISTURBANCES
• Ordinary least squares and Stein-rule predictions in regression models under inclusion of some superfluous variables
• THE SAMPLING PERFORMANCE OF INEQUALITY RESTRICTED AND PRE‐TEST ESTIMATORS IN A MIS‐SPECIFIED LINEAR MODEL
• Comparisons of estimators for regression coefficient in a misspecified linear model with elliptically contoured errors
• Further improving the Stein-rule estimator using the Stein variance estimator in a misspecified linear regression model

Cites work

• scientific article; zbMATH DE number 4076418 (Why is no real title available?)
• scientific article; zbMATH DE number 45973 (Why is no real title available?)
• Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted
• Improved multivariate prediction in a general linear model with an unknown error covariance matrix.
• On the Sampling Performance of an Improved Stein Inequality Restricted Estimator
• On the sensitivity of the restricted least squares estimators to covariance misspecification
• Preliminary-test estimation in mis-specified regressions
• Risk comparison of the inequality constrained least squares and other related estimators under balanced loss
• Robustness of Stein-type estimators under a non-scalar error covariance structure
• SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS
• STEIN-RULE RESTRICTED REGRESSION ESTIMATOR IN A LINEAR REGRESSION MODEL WITH NONSPHERICAL DISTURBANCES
• Stein-type improved estimation of standard error under asymmetric LINEX loss function
• THE SAMPLING PERFORMANCE OF INEQUALITY RESTRICTED AND PRE‐TEST ESTIMATORS IN A MIS‐SPECIFIED LINEAR MODEL
• The exact density and distribution functions of the inequality constrained and pre-test estimators
• The sensitivity of OLS when the variance matrix is (partially) unknown
• Unbiased estimation of the MSE matrices of improved estimators in linear regression

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