SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS

DOI10.1081/STA-120015018zbMath1051.62062MaRDI QIDQ4828901

Alan T. K. Wan, Virendra K. Srivastava

Publication date: 26 November 2004

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

RiskMonte-Carlo simulationBiasMean squared errorQuadratic lossLarge sample asymptoticsSeemingly unrelated regression

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Monte Carlo methods (65C05) Admissibility in statistical decision theory (62C15)

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A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted ⋮ Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances ⋮ Robustness of Stein-type estimators under a non-scalar error covariance structure

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