Stein-type improvement under stochastic constraints: use of multivariate Student-t model in regression

DOI10.1016/J.SPL.2008.02.003MaRDI QIDQ730726zbMATH OpenOpenAlexFDO

Authors D. Kharzeev

Publication date 30 September 2009

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

Full work available at URL https://doi.org/10.1016/j.spl.2008.02.003

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

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• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
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• Estimation with quadratic loss.
• JAMES-STEIN RULE ESTIMATORS IN LINEAR REGRESSION MODELS WITH MULTIVARIATE-t DISTRIBUTED ERROR
• Mathematical properties of the multivariate \(t\) distribution
• Maximum-likelihood estimates and likelihood-ratio criteria for multivariate elliptically contoured distributions
• On Biases in Estimation Due to the Use of Preliminary Tests of Significance
• On the Use of Incomplete Prior Information in Regression Analysis
• Shrinkage Pre-Test Estimator of the Intercept Parameter for a Regression Model with Multivariate Student-t Errors
• Stein-type improvement under stochastic constraints: use of multivariate Student-t model in regression
• Theory of Preliminary Test and Stein‐Type Estimation With Applications

Cited in

(23)

• Shrinkage estimation under multivariate elliptic models
• Estimation of parameters of parallelism model with elliptically distributed errors
• Regression model with elliptically contoured errors
• Improving the estimators of the parameters of a probit regression model: a ridge regression approach
• Comparison of preliminary test estimators based on generalized order statistics from proportional hazard family using Pitman measure of closeness
• A note on classical Stein-type estimators in elliptically contoured models
• On ridge parameter estimators under stochastic subspace hypothesis
• Efficiency of a stochastic restricted two-parameter estimator in linear regression
• Performance analysis of the preliminary test estimator with series of stochastic restrictions
• Positive-rule Stein-type almost unbiased ridge estimator in linear regression model
• Performances of the positive-rule Stein-type ridge estimator in a linear regression model with spherically symmetric error distributions
• The multiparameter \(t'\) distribution
• Stein-type improvement under stochastic constraints: use of multivariate Student-t model in regression
• Improved variance estimation under sub-space restriction
• Improved ridge regression estimators for the logistic regression model
• On the Stein-type Liu estimator and positive-rule Stein-type Liu estimator in multiple linear regression models
• Efficiency of two classes of stochastic restricted almost unbiased type principal component estimators in linear regression model
• Ridge Estimation under the Stochastic Restriction
• On the equivalence of the BLUEs under a general linear model and its restricted and stochastically restricted models
• On the Preliminary Test Backfitting and Speckman Estimators in Partially Linear Models and Numerical Comparisons
• Variable selection of varying dispersion student-\(t\) regression models
• A stochastic restricted two-parameter estimator in linear regression model
• Preliminary test estimators induced by three large sample tests for stochastic constraints in a regression model with multivariate Student-\(t\) error

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