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-ZzbMATH Open1134.62346OpenAlexW2005707834MaRDI QIDQ849899FDOQ849899

Authors: 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

Recommendations

• Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted
• Risk comparison of improved estimators in a linear regression model with multivariate \(t\) errors under balanced loss function
• Comparison of the iterative Stein-rule and the usual estimators of the disturbance variance under the Pitman nearness criterion in a linear regression model with proxy variables
• Pitman closeness for Stein-rule estimators of regression coefficients
• scientific article; zbMATH DE number 954449

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

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• Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances
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• Estimation of the error variance after a preliminary-test of homogeneity in a regression model with spherically symmetric disturbances
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Cited In (7)

• Pitman closeness for Stein-rule estimators of regression coefficients
• Risk comparison of improved estimators in a linear regression model with multivariate \(t\) errors under balanced loss function
• Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted
• Shrinkage estimation in system regression model
• Comparison of the iterative Stein-rule and the usual estimators of the disturbance variance under the Pitman nearness criterion in a linear regression model with proxy variables
• Comparison of the iterative Stein-rule and the usual estimators of the error variance under the Pitman nearness criterion
• Finite sample properties of an HPT estimator when each individual regression coefficient is estimated in a misspecified linear regression model

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