The approximate distribution function of the Stein-rule estimator

DOI10.1016/0165-1765(82)90070-2MaRDI QIDQ356652zbMATH OpenOpenAlexFDO

Authors Aman Ullah

Publication date 26 July 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(82)90070-2

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator
• Estimation with quadratic loss.
• scientific article; zbMATH DE number 3806769 (Why is no real title available?)

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(10)

• The exact distribution of the Stein-rule estimator
• The sampling distribution of shrinkage estimators and their F-ratios in the regression model
• The exact general fomulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators.
• The bias and risk functions of some Stein-rules in elliptically contoured distributions
• On a generalized stein estimator of regression coefficients
• scientific article; zbMATH DE number 63476 (Why is no real title available?)
• The optimal Stein estimation relative to concentration probability: a large sample approximation
• Model averaging: a shrinkage perspective
• A distribution function of the F-ratio when the Stein-rule estimator is used in place of the OLS estimator
• Inadmissibility of the iterative Stein-rule estimator of the disturbance variance in a linear regression

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