On the use of the Stein variance estimator in the double <Emphasis Type="Italic">k</Emphasis>-class estimator when each individual regression coefficient is estimated |
| |
Authors: | Email author" target="_blank">Akio?NambaEmail author |
| |
Institution: | (1) Graduate School of Economics, Kobe University, Rokko, Nada-ku, 657-8501 Kobe, Japan |
| |
Abstract: | In this paper we consider the double k-class estimator which incorporates the Stein variance estimator. This estimator is called the SVKK estimator. We derive the explicit formula for the mean squared error (MSE) of the SVKK estimator for each individual regression coefficient. It is shown analytically that the MSE performance of the Stein-rule estimator for each individual regression coefficient can be improved by utilizing the Stein variance estimator. Also, MSE’s of several estimators included in a family of the SVKK estimators are compared by numerical evaluations. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |