Regression model with elliptically contoured errors

DOI10.1080/02331888.2012.694442zbMath1440.62204arXiv1203.4427OpenAlexW2963077506MaRDI QIDQ2863105

No author found.

Publication date: 21 November 2013

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.4427

zbMATH Keywords

elliptically contoured distributionsigned measurepreliminary test estimatorpositive-rule shrinkage estimatorStein-type shrinkage estimatormultivariate Student's \(t\)

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items

The risk of tensor Stein-rules in elliptically contoured distributions ⋮ Comparisons of variance estimators in a misspecified linear model with elliptically contoured errors ⋮ Comparisons of estimators for regression coefficient in a misspecified linear model with elliptically contoured errors ⋮ On shrinkage estimators in matrix variate elliptical models ⋮ The distribution of the Liu-type estimator of the biasing parameter in elliptically contoured models ⋮ Shrinkage estimation in system regression model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stein-type improvement under stochastic constraints: use of multivariate Student-\(t\) model in regression
• Stein estimation under elliptical distributions
• On the theory of elliptically contoured distributions
• A note on classical Stein-type estimators in elliptically contoured models
• Maximum-likelihood estimates and likelihood-ratio criteria for multivariate elliptically contoured distributions
• Theory of Preliminary Test and Stein‐Type Estimation With Applications
• Estimation and decision for linear systems with elliptical random processes