Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion

DOI10.1007/s00362-006-0321-zzbMath1134.62346OpenAlexW2005707834MaRDI QIDQ849899

Akio Namba, Kazuhiro Ohtani

Publication date: 15 November 2006

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-006-0321-z

Mathematics Subject Classification ID

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

Related Items (4)

Finite sample properties of an HPT estimator when each individual regression coefficient is estimated in a misspecified linear regression model ⋮ Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted ⋮ Risk comparison of improved estimators in a linear regression model with multivariate \(t\) errors under balanced loss function ⋮ Shrinkage estimation in system regression model

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