MSE performance of a heterogeneous pre-test estimator

DOI10.1016/S0167-7152(98)00123-0zbMath0933.62062OpenAlexW2026274663MaRDI QIDQ1304086

Kazuhiro Ohtani

Publication date: 6 April 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00123-0

zbMATH Keywords

MSEadjusted minimum mean-squared error estimatorheterogeneous pre-test estimatorpositive-part Stein-rule estimator

Mathematics Subject Classification ID

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

Related Items (11)

Stabilizing the Performance of Kurtosis Estimator of Multivariate Data ⋮ MSE Performance of a Heterogeneous Pre-Test Ridge Regression Estimator ⋮ PMSE performance of two different types of preliminary test estimators under a multivariate t error term ⋮ Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances ⋮ MSE performance of the weighted average estimators consisting of shrinkage estimators ⋮ Finite sample properties of an HPT estimator when each individual regression coefficient is estimated in a misspecified linear regression model ⋮ On the estimation of reliabilty function in a Weibull lifetime distribution ⋮ MSE dominance of the PT-2SHI estimator over the positive-part Stein-rule estimator in regression ⋮ Estimating and testing effect size from an arbitrary population ⋮ Optimal pre-test estimators in regression ⋮ MSE performance of the weighted average estimators consisting of shrinkage estimators when each individual regression coefficient is estimated

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