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

DOI10.1007/S11424-010-9087-4zbMATH Open1202.62096OpenAlexW2113445154MaRDI QIDQ601897FDOQ601897

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

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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)

Cites Work

• Title not available (Why is that?)
• The sensitivity of OLS when the variance matrix is (partially) unknown
• Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted
• Robustness of Stein-type estimators under a non-scalar error covariance structure
• 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
• Stein-type improved estimation of standard error under asymmetric LINEX loss function
• The exact density and distribution functions of the inequality constrained and pre-test estimators
• Improved multivariate prediction in a general linear model with an unknown error covariance matrix.
• Title not available (Why is that?)
• THE SAMPLING PERFORMANCE OF INEQUALITY RESTRICTED AND PRE‐TEST ESTIMATORS IN A MIS‐SPECIFIED LINEAR MODEL
• 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
• Preliminary-test estimation in mis-specified regressions

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