Effect of Misspecifying the Disturbance Covariance Matrix on a Family of Shrinkage Estimators (Q3083761)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Effect of Misspecifying the Disturbance Covariance Matrix on a Family of Shrinkage Estimators |
scientific article |
Statements
Effect of Misspecifying the Disturbance Covariance Matrix on a Family of Shrinkage Estimators (English)
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23 March 2011
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asymptotic distribution
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non spherical disturbances
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Pitman's drift process
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risk under quadratic loss
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Stein rule estimators
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0.7677711844444275
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0.743635356426239
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0.743635356426239
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