Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss

被引：12

作者：

Giles, JA ^{[1
]}

Giles, DEA ^{[1
]}

机构：

[1] UNIV VICTORIA,DEPT ECON,VICTORIA,BC V8W 3P5,CANADA

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 1996年 / 50卷 / 01期

关键词：

heteroscedasticity; preliminary test; asymmetric loss function; risk under LINEX loss; risk under squared error loss;

D O I：

10.1016/0378-3758(95)00043-7

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we consider the risk of an estimator of the error variance after a pre-test for homoscedasticity of the variances in the two-sample heteroscedastic linear regression model. This particular pre-test problem has been well investigated but always under the restrictive assumption of a squared error loss function. We consider an asymmetric loss function - the LINEX loss function - and derive the exact risks of various estimators of the error variance.

引用

页码：21 / 35

页数：15

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