The inadmissibility of the Stein estimator in normal multiple regression equations

DOI10.1016/0165-1765(85)90099-0zbMath1273.62178OpenAlexW1979773607MaRDI QIDQ373792

Tran Van Hoa

Publication date: 25 October 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(85)90099-0

Mathematics Subject Classification ID

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

Related Items (9)

Improved estimators in some linear errors-in-variables models in finite samples ⋮ The inadmissibility of the 2SLS estimator in linear structural equations ⋮ Some dominance theorems on the double-\(k\) class estimator in linear models ⋮ The informational gain from Stein and hierarchial Stein estimators ⋮ The necessary and sufficient conditions for the uniform dominance of the two-stage Stein estimators ⋮ Confidence ellipsoids based on a general family of shrinkage estimators for a linear model with non-spherical disturbances ⋮ Improved estimates and forecasts of error correction models in economics ⋮ MSE performance of the 2SHI estimator in a regression model with multivariate \(t\) error terms ⋮ Performance of the 2SHI estimator under the generalised pitman nearness criterion

Cites Work

• Estimation of the mean of a multivariate normal distribution
• Inadmissibility of maximum likelihood estimators in some multiple regression problems with three or more independent variables

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