PMSE performance of two different types of preliminary test estimators under a multivariate t error term

DOI10.1080/03610926.2018.1494286OpenAlexW2898571303MaRDI QIDQ5076902

Kazuhiro Ohtani, Hai-Feng Xu

Publication date: 17 May 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2018.1494286

zbMATH Keywords

predictive mean squared errorheterogeneous preliminary test estimatorhomogeneous preliminary test estimatormultivariate \(t\) error term

Mathematics Subject Classification ID

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

Uses Software

• robustbase
• AS 181

Cites Work

• Estimation of error variance in linear regression models with errors having multivariate Student-\(t\) distribution with unknown degrees of freedom
• Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
• MSE performance of a heterogeneous pre-test estimator
• Pre-test double \(k\)-class estimators in linear regression
• Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances
• The matrix-\(t\) distribution and its applications in predictive inference
• MSE Performance and Minimax Regret Significance Points for a HPT Estimator when each Individual Regression Coefficient is Estimated
• The Exact General Formulas for the Moments of a Ridge Regression Estimator when the Regression Error Terms Follow a MultivariatetDistribution
• On an adjustment of degrees of freedom in the minimim mean squared error ertimator
• Estimation of the parameters of a regression model with a multivariate t error variable
• JAMES-STEIN RULE ESTIMATORS IN LINEAR REGRESSION MODELS WITH MULTIVARIATE-t DISTRIBUTED ERROR
• The Minimum Mean Square Error Linear Estimator and Ridge Regression
• 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
• Comparison of operational variants of Best homogeneous and heterogeneous estimators in linear regression
• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
• Robust Statistics
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