Shrinkage estimation in restricted elliptical regression models

Citation data:

Journal of the Iranian Statistical Society, ISSN: 2538-189X, Vol: 17, Issue: 1, Page: 49-61

Publication Year:
2018

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DOI:
10.29252/jirss.17.1.49
Author(s):
‎R‎eza‎ ‎ Falah; ‎M‎ohammad Arashi; Seyed Mohammad M. ‎Tabatabaey
Publisher(s):
Armenian Green Publishing Co.
Tags:
Mathematics
article description
In the restricted elliptical linear model, an approximation for the risk of a general shrinkage estimator of the regression vector-parameter is given. Superiority condition of the shrinkage estimator over the restricted estimator is investigated under the elliptical assumption. It is evident from numerical results that the shrinkage estimator performs better than the unrestricted one in the multivariate t-regression model.