Exact distribution of a pre-test estimator for regression error variance when there are omitted variables.

DOI10.1016/S0167-7152(02)00282-1zbMath1056.62016MaRDI QIDQ1871321

Kazuhiro Ohtani

Publication date: 7 May 2003

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

zbMATH Keywords

Stein variance estimatorPre-testMSE dominanceSpecification error

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Exact distribution theory in statistics (62E15) Admissibility in statistical decision theory (62C15)

Related Items (5)

Asymmetric risk of the Stein variance estimator under a misspecified linear regression model ⋮ Performance of preliminary test estimators for error variance based on W, LR and LM tests ⋮ Comparisons of variance estimators in a misspecified linear model with elliptically contoured errors ⋮ On the sensitivity of pre-test estimators to covariance misspecification ⋮ Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted

Cites Work

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• Preliminary-test estimation of the scale parameter in a mis-specified regression model
• Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
• Improved estimation of the disturbance variance in a linear regression model
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• Pre-testing in a mis-specified regression model
• The exact distribution and density functions of the stein-type estimator for normal variance
• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution

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