A Monte Carlo comparison of traditional and Stein-rule estimators under squared error loss

DOI10.1016/0304-4076(76)90038-5zbMath0351.62050OpenAlexW2101366025MaRDI QIDQ1235478

Thomas A. Yancey, George G. Judge

Publication date: 1976

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2027/uiug.30112070692675

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Related Items (3)

Small sample performance of the Stein-rule in non-orthogonal designs ⋮ Generalized ridge regression, least squares with stochastic prior information, and Bayesian estimators ⋮ The exact general fomulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators.

Cites Work

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• Minimax estimators of the mean of a multivariate normal distribution
• Inadmissibility of maximum likelihood estimators in some multiple regression problems with three or more independent variables
• Parameter Estimates and Autonomous Growth
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
• The Statistical Consequences of Preliminary Test Estimators in Regression
• Proper Bayes Minimax Estimators of the Multivariate Normal Mean
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution

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