Double shrinkage estimation of common coefficients in two regression equations with hetersocedasticity

DOI10.1006/jmva.1998.1763zbMath0953.62008OpenAlexW2028496116MaRDI QIDQ1275411

Tatsuya Kubokawa

Publication date: 10 March 1999

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1998.1763

zbMATH Keywords

inadmissibilityheteroscedastic linear modelsestimating common regression coefficientsfeasible generalized least squares

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Admissibility in statistical decision theory (62C15)

Related Items (3)

A theorem on the covariance matrix of a generalized least squares estimator under an elliptically symmetric error ⋮ Existence conditions for the uniformly minimum risk unbiased estimators in a class of linear models ⋮ Heteroscedasticity diagnostics in two-phase linear regression models

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