Large sample asymptotic properties of the double k-class estimators in linear regression models

DOI10.1080/07474939508800305zbMath0832.62062OpenAlexW2044370442MaRDI QIDQ4853090

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Publication date: 25 October 1995

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939508800305

zbMATH Keywords

simulationmean squared errorasymptotic biasordinary least squaresCauchy distributiondouble \(k\)-class estimatorpredictive mean squared errormulticollinarityStein- rule estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items (7)

ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION ⋮ Performance of double \(k\)-class estimators for coefficients in linear regression models with non-spherical disturbances under asymmetric losses ⋮ Double \(k\)-class estimators in regression models with non-spherical disturbances ⋮ Improved estimation in measurement error models through Stein rule procedure ⋮ Stein-rule estimation under an extended balanced loss function ⋮ Pre-test double \(k\)-class estimators in linear regression ⋮ Foundations of statistical inference based on numerical roots of robust pivot functions

Cites Work

• Unnamed Item
• On double \(k\)-class estimators of coefficients in linear regression
• A necessary and sufficient condition for the dominance of an improved family of estimators in linear regression models
• Estimation of the mean of a multivariate normal distribution
• Improved prediction in the presence of multicollinearity
• Properties of shrinkage estimators in linear regression when disturbances are not normal
• On Truncation of Shrinkage Estimators in Simultaneous Estimation of Normal Means
• Double k-Class Estimators of Coefficients in Linear Regression
• A Ridge Estimator Whose MSE Dominates OLS
• Improved Stein-rule estimator for regression problems

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