Regression model with elliptically contoured errors |
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| Authors: | M. Arashi A. K.Md.E. Saleh S. M.M. Tabatabaey |
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| Affiliation: | 1. Faculty of Mathematics , Shahrood University of Technology , PO Box 316-3619995161, Shahrood , Iran m_arashi_stat@yahoo.com;3. School of Mathematics and Statistics , Carleton University , 1125 Colonel by drive, Ottawa , Ontario , Canada , K1S5B6;4. Department of Statistics , School of Mathematical Sciences, Ferdowsi University of Mashhad , Mashhad , Iran |
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| Abstract: | ![]()
For the regression model y=X β+ε where the errors follow the elliptically contoured distribution, we consider the least squares, restricted least squares, preliminary test, Stein-type shrinkage and positive-rule shrinkage estimators for the regression parameters, β. We compare the quadratic risks of the estimators to determine the relative dominance properties of the five estimators. |
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| Keywords: | elliptically contoured distribution multivariate student's t positive-rule shrinkage estimator preliminary test estimator signed measure Stein-type shrinkage estimator |
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