| Автор | Ullah, Aman |
| Автор | Vinod, H.D. |
| Дата выпуска | 1984 |
| dc.description | Shrinkage estimators often have a biasing parameter (saym k) and a non-stochastic shrinkage target (zero). Range of stochastic k values in which the mean squared error (MSE) of ordinary least squares estimator (OLS) is reduced is known and tabulated invinod and Ullah (1981, p. 218). This paper generalized these ranges for Bayesian and non-Bayesian estimators involving stochastic shrinkage targets. For example, the shrinkage target is the avarage of the regression coefficients in Lindley and Smith (1972) and Zellner and Vandaele (1975). Also included are results on Bayes-Almon estimator for the distributed lag models and certain iterative estimators. Interstingly, Lindley and Smith's iterative ridge estimator is shown to be no better than their first stage estimator. |
| Формат | application.pdf |
| Издатель | Marcel Dekker, Inc. |
| Копирайт | Copyright Taylor and Francis Group, LLC |
| Тема | regression |
| Тема | biased |
| Тема | ridge |
| Тема | Stein-rule |
| Тема | mean squared error matrix |
| Тема | mean squared error matrix |
| Тема | shrinkage toward stochastic target |
| Название | Improvement ranges for shrinkage estimators with stochastic target |
| Тип | research-article |
| DOI | 10.1080/03610928408828676 |
| Electronic ISSN | 1532-415X |
| Print ISSN | 0361-0926 |
| Журнал | Communications in Statistics - Theory and Methods |
| Том | 13 |
| Первая страница | 207 |
| Последняя страница | 215 |
| Аффилиация | Ullah, Aman; University of Western Ontario |
| Аффилиация | Vinod, H.D.; Fordham University |
| Выпуск | 2 |
| Библиографическая ссылка | Kadane, J.B. 1971. Comparison of k-class estimators when the disturbances are small. Econometrica, : 723–738. |
| Библиографическая ссылка | Lindley, D.V. and Smith, A.F.M. 1972. Bayes estimates for the linear model. Journal of the Royal Statistical Society, B: 1–41. with discussion |
| Библиографическая ссылка | Maddala, G.S. 1977. Econometrics, New York: McGraw-Hill. |
| Библиографическая ссылка | Rao, C.R. 1973. Linear Statistical Inference and its Application, New York: John Wiley and Sons. |
| Библиографическая ссылка | Ullah, A. and Raj, B. 1980. A polynomial distributed lag model with stochastic coefficients and priors, Empirical Economics. |
| Библиографическая ссылка | Vinod, H.D. and A., Ullah. 1981. Recent Advances in Regression Methods, New York: Marcel Dekker. |
| Библиографическая ссылка | Zellner, A. and Vandaele, W. 1975. “Bayes-Stein estimators for k-means regression and simultaneous equation models”. In Studies in Bayesian Econometrics and Statistics, Edited by: Fienberg, S.E. and Zellner, A. Amsterdam: North-Holland Publishing. |
