Shrinkage estimation of the regression parameters with multivariate normal errors

Iranian Journal of Numerical Analysis and Optimization

مقاله 5، دوره 1، شماره 1، فروردین 2008، صفحه 83-100   

نوع مقاله: Research Article

شناسه دیجیتال (DOI): 10.22067/ijnao.v1i1.622

نویسندگان

M. Arashi^* ؛ S. M. M. Tabatabaey

Department of Statistics, Ferdowsi University of Mashhad, Mashhad

چکیده

In the linear model y=XB+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.

کلیدواژه‌ها

GLS estimator؛ preliminary test estimator؛ stein-type shrinkage estimator؛ positive-rule shrinkage estimator

مراجع

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