Comparisons of variance estimators in a misspecified linear model with elliptically contoured errors

DOI10.1016/j.jmva.2014.09.012zbMath1302.62166OpenAlexW2032724455MaRDI QIDQ476242

Guikai Hu, Han Luo, Sheng-Hua Yu

Publication date: 28 November 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.09.012

zbMATH Keywords

elliptically contoured distributioncomparisonsmisspecified linear modelvariance estimators

Mathematics Subject Classification ID

Point estimation (62F10) Analysis of variance and covariance (ANOVA) (62J10)

Related Items

The risk of tensor Stein-rules in elliptically contoured distributions ⋮ Performance of preliminary test estimators for error variance based on W, LR and LM tests ⋮ Comparisons of estimators for regression coefficient in a misspecified linear model with elliptically contoured errors ⋮ The distribution of the Liu-type estimator of the biasing parameter in elliptically contoured models

Cites Work

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• Estimating the error variance after a pre-test for an interval restriction on the coefficients
• Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted
• Improved variance estimation under sub-space restriction
• Further improving the Stein-rule estimator using the Stein variance estimator in a misspecified linear regression model
• On the theory of elliptically contoured distributions
• Correlation inequalities on some partially ordered sets
• Bootstrap methods: another look at the jackknife
• Exact distribution of a pre-test estimator for regression error variance when there are omitted variables.
• Estimation of parameters of parallelism model with elliptically distributed errors
• Regression model with elliptically contoured errors
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• PMSE PERFORMANCE OF THE BIASED ESTIMATORS IN A LINEAR REGRESSION MODEL WHEN RELEVANT REGRESSORS ARE OMITTED
• Theory of Preliminary Test and Stein‐Type Estimation With Applications
• Estimation and decision for linear systems with elliptical random processes
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