Further improving the Stein-rule estimator using the Stein variance estimator in a misspecified linear regression model

Statistics and Probability Letters

Volumn 29, Issue 3, 1996, Pages 191-199

  Ohtani, Kazuhiro ^a  

^a KOBE UNIVERSITY   (Japan)

Author keywords

Misspecification; Pre test; Stein rule estimator; Stein variance estimator

Indexed keywords

EID: 0030565390     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-7152(95)00173-5     Document Type: Article

References (13)

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11. Ohtani, K. (1993), A comparison of the Stein-rule and positive-part Stein-rule estimators in a misspecified linear regression model, Econometric Theory 9, 668-679.
12. Stein, C. (1955), In admissibility of the usual estimator for the mean of a multivariate normal distribution, Proc. 3rd Berkeley Symp. on Mathematical Statistics and Probability (Univ. California Press, Berkeley) pp. 197-206.
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