Regression Model With Elliptically Contoured Errors
Statistics Theory
2012-03-21 v1 Methodology
Statistics Theory
Abstract
For the regression model where the errors follow the elliptically contoured distribution (ECD), we consider the least squares (LS), restricted LS (RLS), preliminary test (PT), Stein-type shrinkage (S) and positive-rule shrinkage (PRS) estimators for the regression parameters. We compare the quadratic risks of the estimators to determine the relative dominance properties of the five estimators.
Cite
@article{arxiv.1203.4427,
title = {Regression Model With Elliptically Contoured Errors},
author = {M. Arashi and A. K. Md E. Saleh and S. M. M. Tabatabaey},
journal= {arXiv preprint arXiv:1203.4427},
year = {2012}
}
Comments
final version will be published in Statistics: A Journal of Theoretical and Applied Statistics