Inadmissibility of the Stein-rule estimator under the balanced loss function
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Publication:1305684
DOI10.1016/S0304-4076(98)00030-XzbMath0933.62008WikidataQ126804667 ScholiaQ126804667MaRDI QIDQ1305684
Publication date: 2 April 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Admissibility in statistical decision theory (62C15)
Related Items (20)
Risk and Pitman closeness properties of feasible generalized double \(k\)-class estimators in linear regression models with non-spherical disturbances under balanced loss function ⋮ Admissibility of linear estimators of the common mean parameter in general linear models under a balanced loss function ⋮ Admissibility of estimated regression coefficients under generalized balanced loss ⋮ Admissibility of linear estimators for the stochastic regression coefficient in a general Gauss-Markoff model under a balanced loss function ⋮ Admissible linear estimators in the general Gauss-Markov model under generalized extended balanced loss function ⋮ \(\Phi\) admissibility of stochastic regression coefficients in a general multivariate random effects model under a generalized balanced loss function ⋮ Matrix linear minimax estimators in a general multivariate linear model under a balanced loss function ⋮ Minimax estimator of regression coefficient in normal distribution under balanced loss function ⋮ Linearly admissible estimators of stochastic regression coefficient under balanced loss function ⋮ Admissibility in general linear model with respect to an inequality constraint under balanced loss ⋮ All admissible linear estimators of a regression coefficient under a balanced loss function ⋮ Admissibility for linear estimators of regression coefficient in a general Gauss-Markoff model under balanced loss function ⋮ The optimal extended balanced loss function estimators ⋮ Linearly admissible estimators of mean vector with respect to balanced loss function in multivariate statistics ⋮ Stein-rule estimation under an extended balanced loss function ⋮ Robustness of Stein-type estimators under a non-scalar error covariance structure ⋮ An Appreciation of Balanced Loss Functions Via Regret Loss ⋮ Risk comparison of improved estimators in a linear regression model with multivariate \(t\) errors under balanced loss function ⋮ On generalized ridge regression estimators under collinearity and balanced loss ⋮ A note on Stein-type shrinkage estimator in partial linear models
Cites Work
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- Further improving the Stein-rule estimator using the Stein variance estimator in a misspecified linear regression model
- Improving the James-Stein estimator using the Stein variance estimator
- Generalized ridge regression estimators under the LINEX loss function
- Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
- The exact general fomulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators.
- The exact risks of some pre-test and stein-type regression estimators umder balanced loss
- Bayesian Estimation and Prediction Using Asymmetric Loss Functions
- Preliminary-test estimation of the regression scale parameter when the loss function is asymmetric
- Weighted balanced loss function and estimation of the mean time to failure
- Risk comparison of the inequality constrained least squares and other related estimators under balanced loss
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