Title : ( Shrinkage estimation of the regression parameters with multivariate normal errors )
Authors: محمد آرشی , Mohammad Mehdi Tabatabaey Mashhadi ,
Full TextAbstract
In the linear model y=X\\\\\\\\beta+e with the errors distributed as normal, we obtain generalized least square (GLS) , restricted GLS (RGLS), preliminary test (PT), Stein-type shrinkage (S) and positive-rule shrinkage (PRS) estimators for regression vector parameter $\\\\\\\\beta$ when the covariance structure in known. We compare the quadratic risks of the underlying estimators and propose the dominance orders of the five estimators.
Keywords
, GLS estimator, Preliminary test estimator, Stein-type shrinkage estimator, Positive-rule shrinkage estimator.
@article{paperid:1008657,
author = {محمد آرشی and Tabatabaey Mashhadi, Mohammad Mehdi},
title = {Shrinkage estimation of the regression parameters with multivariate normal errors},
journal = {Iranian Journal of Numerical Analysis and Optimization},
year = {2008},
volume = {1},
number = {1},
month = {January},
issn = {2423-6977},
pages = {83--96},
numpages = {13},
keywords = {GLS estimator; Preliminary test estimator; Stein-type shrinkage estimator; Positive-rule shrinkage
estimator.},
}
%0 Journal Article
%T Shrinkage estimation of the regression parameters with multivariate normal errors
%A محمد آرشی
%A Tabatabaey Mashhadi, Mohammad Mehdi
%J Iranian Journal of Numerical Analysis and Optimization
%@ 2423-6977
%D 2008
