Regression model with elliptically contoured errors

DOI10.1080/02331888.2012.694442MaRDI QIDQ2863105zbMATH OpenOpenAlexFDO

Authors M. Arashi, A. K. Md. Ehsanes Saleh, S. M. M. Tabatabaey

Publication date 21 November 2013

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.4427

zbMATH Keywords

elliptically contoured distributionmultivariate Student's \(t\)positive-rule shrinkage estimatorpreliminary test estimatorsigned measureStein-type shrinkage estimator

Mathematics Subject Classification ID

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

Abstract: For the regression model where the errors follow the elliptically contoured distribution (ECD), we consider the least squares (LS), restricted LS (RLS), preliminary test (PT), Stein-type shrinkage (S) and positive-rule shrinkage (PRS) estimators for the regression parameters. We compare the quadratic risks of the estimators to determine the relative dominance properties of the five estimators.

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Cites work

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Cited in

(16)

• Linear regression models with slash-elliptical errors
• On shrinkage estimators in matrix variate elliptical models
• Shrinkage estimation in system regression model
• Estimation of parameters of parallelism model with elliptically distributed errors
• scientific article; zbMATH DE number 5563734 (Why is no real title available?)
• scientific article; zbMATH DE number 4034908 (Why is no real title available?)
• On the Least-Squares Method for Elliptically Contoured Distributions
• scientific article; zbMATH DE number 123456 (Why is no real title available?)
• Simple regression in view of elliptical models
• Comparisons of variance estimators in a misspecified linear model with elliptically contoured errors
• The distribution of the Liu-type estimator of the biasing parameter in elliptically contoured models
• The risk of tensor Stein-rules in elliptically contoured distributions
• Comparisons of estimators for regression coefficient in a misspecified linear model with elliptically contoured errors
• Improved estimation of mean matrix in singular elliptically contoured random samples with high-dimensional data
• A legacy in statistics: the life and contributions of Professor A. K. Md. Ehsanes Saleh
• Elliptical regression operationalized

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