A comparison of mixed and minimax estimators of linear models |
| |
| Authors: | Timo Teräsvirta |
| |
| Affiliation: | Research Institute of the Finnish Economy , Helsinki, Finland |
| |
| Abstract: | ![]()
In this paper the stochastic properties of two estimators of linear models, mixed and minimax, based on different types of prior information, are compared using quadratic risk as the criterion for superiority. A necessary and sufficient condition for the minimax estimator to be superior to the comparable mixed estimator is derived as well as a simpler necessary but not sufficient condition. |
| |
| Keywords: | Biased estimation linear model mixed estimator minimax estimator ridge regression |
|
|
