The exact mean squared error of Stein-rule estimator in linear models

DOI10.1016/0378-3758(88)90110-3zbMath0638.62067OpenAlexW2004805684MaRDI QIDQ1099549

Shyamal Das Peddada, Parthasarathi Lahiri

Publication date: 1988

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(88)90110-3

zbMATH Keywords

linear modelellipsoidnon-normalleast squares estimatorinadmissibilityfractional operatorexact mean squared errorlinear combination of the regression vectorStein rule estimator

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Admissibility in statistical decision theory (62C15)

Related Items (1)

Confidence interval estimation under some restrictions on the parameters with nonlinear boundaries

Cites Work

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• The distribution of matrix quotients
• Estimation of parameters in a linear model
• On the sampling distribution of improved estimators for coefficients in linear regression
• Inadmissibility of maximum likelihood estimators in some multiple regression problems with three or more independent variables
• The exact distribution of the Stein-rule estimator
• The Exact Distribution of the SUR Estimator
• A minimax linear estimator for linear parameters under restrictions in form of inequalities
• Admissibility of linear estimators with respect to restricted parameter sets
• Precision of individual estimators in simultaneous estimation of parameters

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