On a generalized stein estimator of regression coefficients |
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| Authors: | Balakrishna S Hosmane |
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| Institution: | Division of Statistics , Northern Illinois University , Dekalb, Illinois, 60115 |
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| Abstract: | This paper studies a generalized Stein estimator of regression coefficients. The small disturbance approximations for the bias and mean square error matrix of the estimator are derived and a necessary and sufficient condition is obtained for the estimator to dominate the ordinary least squares estimator under the mean square error criterion. |
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| Keywords: | Asymptotic bias asymptotic mean square error stein estimator |
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