MSE performance of the weighted average estimators consisting of shrinkage estimators

IR (HANDLE) Open Access

Description

In this paper, we consider a regression model and propose estimators which are the weighted averages of two estimators among three estimators; the Stein-rule (SR), the minimum mean squared error (MMSE), and the adjusted minimum mean-squared error (AMMSE) estimators. It is shown that one of the proposed estimators has smaller mean-squared error (MSE) than the positive-part Stein-rule (PSR) estimator over a moderate region of parameter space when the number of the regression coefficients is small (i.e., 3), and its MSE performance is comparable to the PSR estimator even when the number of the regression coefficients is not so small.

Journal

Keywords

Details 詳細情報について

  • CRID
    1050294045370267136
  • NII Article ID
    120006477538
  • ISSN
    1532415X
    03610926
  • HANDLE
    20.500.14094/90004934
  • Text Lang
    en
  • Article Type
    journal article
  • Data Source
    • IRDB
    • CiNii Articles

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