Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss

DOI10.1016/0378-3758(95)00043-7zbMath0847.62054OpenAlexW2045875318MaRDI QIDQ1918143

David E. A. Giles, Judith A. Giles

Publication date: 5 September 1996

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(95)00043-7

zbMATH Keywords

squared error lossLINEX losspreliminary testpre-testasymmetric losshomoscedasticityexact risksestimators of error variancetwo-sample heteroscedastic linear regression model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items (12)

ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL ⋮ New biased estimators under the LINEX loss function ⋮ ADMISSIBILITY OF BAYES ESTIMATES UNDER BLINEX LOSS FOR THE NORMAL MEAN PROBLEM ⋮ Regression models using the LINEX loss to predict lower bounds for the number of points for approximating planar contour shapes ⋮ Estimation of the mean of a univariate normal distribution with known variance ⋮ Preliminary test and Bayes Estimation of a Location Parameter Under Blinex Loss ⋮ Performance of double \(k\)-class estimators for coefficients in linear regression models with non-spherical disturbances under asymmetric losses ⋮ Stein-type improved estimation of standard error under asymmetric LINEX loss function ⋮ A note on almost unbiased generalized ridge regression estimator under asymmetric loss ⋮ Performance of Preliminary Test Estimator Under Linex Loss Function ⋮ The exact risks of some pre-test and stein-type regression estimators umder balanced loss ⋮ Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure

Uses Software

• SHAZAM
• AS 155

Cites Work

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• Preliminary-test estimation of the standard error of estimate in linear regression
• Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
• Estimation of the error variance after a preliminary-test of homogeneity in a regression model with spherically symmetric disturbances
• Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test
• Pre-test estimation in regression under absolute error loss
• On the admissibility of an estimator of a normal mean vector under a LINEX loss function
• Estimation of the binomial parameter_nusing a linex loss function
• On the minimaxity of pitman type estimator under a linex loss function
• ESTIMATION OF THE PARAMETER OF A POISSON DISTRIBUTION USING A LINEX LOSS FUNCTION
• Bayesian Estimation and Prediction Using Asymmetric Loss Functions
• On the admissibility of c[Xbar + d with respect to the linex loss function]
• Finite Sample Moments of a Preliminary Test Estimator in the Case of Possible Heteroscedasticity
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Algorithm 488: A Gaussian pseudo-random number generator
• Small Sample Properties of a Class of Two Stage Aitken Estimators
• The Heteroscedastic Linear Model: Exact Finite Sample Results
• Preliminary-test estimation of the regression scale parameter when the loss function is asymmetric
• On Biases in Estimation Due to the Use of Preliminary Tests of Significance

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