Performance of preliminary test estimator under linex loss function

Communications in Statistics - Theory and Methods

Volumn 38, Issue 2, 2009, Pages 252-261

  Hoque, Zahirul ^a   Khan, Shahjahan ^b   Wesolowski, Jacek ^c  

^a UNITED ARAB EMIRATES UNIVERSITY   (United Arab Emirates)

^b UNIVERSITY OF SOUTHERN QUEENSLAND   (Australia)

^c WARSAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

Linex loss; Non sample prior information; Preliminary test estimator; Risk function; Unrestricted estimator

Indexed keywords

FUNCTION EVALUATION; LINEAR REGRESSION; NUMERICAL METHODS; REGRESSION ANALYSIS;

LINEX LOSS; NON SAMPLE PRIOR INFORMATION; PRELIMINARY TEST ESTIMATOR; RISK FUNCTION; UNRESTRICTED ESTIMATOR;

PROBABILITY DENSITY FUNCTION;

EID: 55549097445     PISSN: 03610926     EISSN: 1532415X     Source Type: Journal    
DOI: 10.1080/03610920802192471     Document Type: Article

References (10)

1. Bancroft, T. A. (1944). On biases in estimation due to the use of the preliminary test of significance. Ann. Math. Statist. 15:190-204.
2. Giles, J. A., Giles, D. E. A. (1993). Preliminary-test estimation of the regression scale parameter when the loss function is asymmetric. Commun. Statist. Theor. Meth. 22(6):1709-1733.
3. Giles, J. A., Giles, D. E. A. (1996). Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss. J. Statist. Plann. Infer. 50:21-35.
4. Han, C. P., Bancroft, T. A. (1968). On pooling means when variance is unknown. J. Amer. Statist. Assoc. 63:133-1342.
5. Khan, S., Saleh, A. K. Md. E. (2001). On the comparison of the pre-test and shrinkage estimators for the univariate normal mean. Statist. Pap. 42(4):451-473.
6. Khan, S., Hoque, Z., Saleh, A. K. Md. E. (2002). Estimation of the slope parameter for linear regression model with uncertain prior information. J. Statist. Res. 36(1):55-73.
7. Parsian, A., Farispour, N. S. (1993). On the admissibility and inadmissibility of estimators of scale parameters using an asymmetric loss function. Commun. Statist. Theor. Meth. 22(10):2877-2901.
8. Parsian, A., Kirmani, S. N. U. A. (2002). Estimation under LINEX loss function. In: Ullah, A., Wan, A. T. K., Chaturvedi, A., eds. Handbook of Applied Econometrics and Statistical Inference. New York: Marcel Dekker.
9. Varian, H. R. (1975). A Bayesian approach to real estate assessment. In: Feinberg, Zellner, A., eds. Studies in Bayesian Econometrics and Statistics in Honor of L. J. Savage. Amsterdam: North Holland, pp. 195-208.
10. Zellner, A. (1986). Bayesian estimation and prediction using asymmetric loss functions. J. Amer. Statist. Assoc. 81(394):446-451.