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

DOI10.1007/s11424-010-9087-4zbMath1202.62096OpenAlexW2113445154MaRDI QIDQ601897

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

Stein-rule estimatormodel misspecificationlinear regression modelinequality restricted estimator

Mathematics Subject Classification ID

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

Cites Work

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• 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
• Improved multivariate prediction in a general linear model with an unknown error covariance matrix.
• Unbiased estimation of the MSE matrices of improved estimators in linear regression
• On the Sampling Performance of an Improved Stein Inequality Restricted Estimator
• STEIN-RULE RESTRICTED REGRESSION ESTIMATOR IN A LINEAR REGRESSION MODEL WITH NONSPHERICAL DISTURBANCES
• SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS
• THE SAMPLING PERFORMANCE OF INEQUALITY RESTRICTED AND PRE‐TEST ESTIMATORS IN A MIS‐SPECIFIED LINEAR MODEL
• Stein-type improved estimation of standard error under asymmetric LINEX loss function
• On the sensitivity of the restricted least squares estimators to covariance misspecification
• Risk comparison of the inequality constrained least squares and other related estimators under balanced loss

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