Risk Comparison of Improved Estimators in a Linear Regression Model with Multivariate t Errors under Balanced Loss Function
Under a balanced loss function, we derive the explicit formulae of the risk of the Stein-rule (SR) estimator, the positive-part Stein-rule (PSR) estimator, the feasible minimum mean squared error (FMMSE) estimator, and the adjusted feasible minimum mean squared error (AFMMSE) estimator in a linear r...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
|
| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/129205 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1849309125334269952 |
|---|---|
| author | Guikai Hu Qingguo Li Shenghua Yu |
| author_facet | Guikai Hu Qingguo Li Shenghua Yu |
| author_sort | Guikai Hu |
| collection | DOAJ |
| description | Under a balanced loss function, we derive the explicit formulae of the risk of the Stein-rule (SR) estimator, the
positive-part Stein-rule (PSR) estimator, the feasible minimum mean squared error (FMMSE) estimator, and the adjusted feasible
minimum mean squared error (AFMMSE) estimator in a linear regression model with multivariate t errors. The results show
that the PSR estimator dominates the SR estimator under the balanced loss and multivariate t errors. Also, our numerical results
show that these estimators dominate the ordinary least squares (OLS) estimator when the weight of precision of estimation is
larger than about half, and vice versa. Furthermore, the AFMMSE estimator dominates the PSR estimator in certain occasions. |
| format | Article |
| id | doaj-art-0cf4ef5f455d4f788b869699ea4cf31e |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-0cf4ef5f455d4f788b869699ea4cf31e2025-08-20T03:54:15ZengWileyJournal of Applied Mathematics1110-757X1687-00422014-01-01201410.1155/2014/129205129205Risk Comparison of Improved Estimators in a Linear Regression Model with Multivariate t Errors under Balanced Loss FunctionGuikai Hu0Qingguo Li1Shenghua Yu2School of Mathematics and Econometrics, Hunan University, Changsha 410082, ChinaSchool of Mathematics and Econometrics, Hunan University, Changsha 410082, ChinaSchool of Economics and Trade, Hunan University, Changsha 410079, ChinaUnder a balanced loss function, we derive the explicit formulae of the risk of the Stein-rule (SR) estimator, the positive-part Stein-rule (PSR) estimator, the feasible minimum mean squared error (FMMSE) estimator, and the adjusted feasible minimum mean squared error (AFMMSE) estimator in a linear regression model with multivariate t errors. The results show that the PSR estimator dominates the SR estimator under the balanced loss and multivariate t errors. Also, our numerical results show that these estimators dominate the ordinary least squares (OLS) estimator when the weight of precision of estimation is larger than about half, and vice versa. Furthermore, the AFMMSE estimator dominates the PSR estimator in certain occasions.http://dx.doi.org/10.1155/2014/129205 |
| spellingShingle | Guikai Hu Qingguo Li Shenghua Yu Risk Comparison of Improved Estimators in a Linear Regression Model with Multivariate t Errors under Balanced Loss Function Journal of Applied Mathematics |
| title | Risk Comparison of Improved Estimators in a Linear Regression Model with Multivariate t Errors under Balanced Loss Function |
| title_full | Risk Comparison of Improved Estimators in a Linear Regression Model with Multivariate t Errors under Balanced Loss Function |
| title_fullStr | Risk Comparison of Improved Estimators in a Linear Regression Model with Multivariate t Errors under Balanced Loss Function |
| title_full_unstemmed | Risk Comparison of Improved Estimators in a Linear Regression Model with Multivariate t Errors under Balanced Loss Function |
| title_short | Risk Comparison of Improved Estimators in a Linear Regression Model with Multivariate t Errors under Balanced Loss Function |
| title_sort | risk comparison of improved estimators in a linear regression model with multivariate t errors under balanced loss function |
| url | http://dx.doi.org/10.1155/2014/129205 |
| work_keys_str_mv | AT guikaihu riskcomparisonofimprovedestimatorsinalinearregressionmodelwithmultivariateterrorsunderbalancedlossfunction AT qingguoli riskcomparisonofimprovedestimatorsinalinearregressionmodelwithmultivariateterrorsunderbalancedlossfunction AT shenghuayu riskcomparisonofimprovedestimatorsinalinearregressionmodelwithmultivariateterrorsunderbalancedlossfunction |