A test of the mean square error criterion for shrinkage estimators |
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| Authors: | Erkki P Liski |
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| Institution: | University of Tampere , Tampere, SF, 33101, Finland |
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| Abstract: | A test for choosing between a shrinkage estimator and the least squares estimator is described and a central-F approximation to the test statistic is considered. An example from the literature was analysed using the test procedure proposed here. The power of the test was studied by means of simulation. |
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| Keywords: | linear admissible estimators central-F approximations ridge regression simulation |
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