Exact small sample properties of an operational variant of the minimum mean squared error estimator

Communications in Statistics - Theory and Methods

Volumn 25, Issue 6, 1996, Pages 1223-1231

  Ohtani, Kazuhiro ^a  

^a KOBE UNIVERSITY   (Japan)

Author keywords

Mean squared error (MSE); Minimum MSE estimator; MSE dominance

Indexed keywords

EID: 0000963815     PISSN: 03610926     EISSN: None     Source Type: Journal    
DOI: 10.1080/03610929608831760     Document Type: Article

References (7)

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2. Farebrother, R.W. (1975), The minimum mean square error linear estimator and ridge regression, Technometrics, 17, 127-128.
3. Judge, G.G. and M.E. Bock (1978), The Statistical Implications of Pre-Test and Stein-Rule Estimators in Econometrics, (Amsterdam, North-Holland).
4. Liski, E.P., H. Toutenburg and G. Trenkler (1993), Minimum mean square error estimation in linear regression, Journal of Statistical Planning and Inference, 37, 203-214.
5. Theil, H. (1971). Principles of Econometrics, (New York, John Wiley).
6. Tracy, D.S. and A.K. Srivastava (1994), Comparison of operational variants of best homogeneous and heterogeneous estimators in linear regression, Communications in Statistics-Theory and Methods, 23, 2313-2322.
7. Vinod, H.D. (1976), Simulation and extension of a minimum mean squared error estimator in comparison with Stein's, Technometrics, 18, 491-496.