Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion

DOI10.1007/s00362-006-0321-zzbMath1134.62346MaRDI QIDQ849899

Akio Namba, Kazuhiro Ohtani

Publication date: 15 November 2006

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-006-0321-z

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

62J05: Linear regression; mixed models

Related Items

Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted

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