STEIN RULE ESTIMATION IN LINEAR-MODEL WITH NONSCALAR ERROR COVARIANCE-MATRIX

被引：0

作者：

CHATURVEDI, A ^{[1
]}

SHUKLA, G ^{[1
]}

机构：

[1] UNIV ALLAHABAD,ALLAHABAD 211002,UTTAR PRADESH,INDIA

来源：

SANKHYA-THE INDIAN JOURNAL OF STATISTICS SERIES B | 1990年 / 52卷

关键词：

STEIN-RULE ESTIMATION; CONCENTRATION PROBABILITY; NONSCALAR ERROR COVARIANCE MATRIX;

D O I：

暂无

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：

The present paper considers a family of Stein-rule estimators for estimating the coefficient vector of a linear regression model with covariance matrix depending on few unknown parameters. Edgeworth type asymptotic expansion for the distribution of Stein-rule estimator is derived and its performance is compared with that of the FGLS estimator using the criterion of risk under quadratic loss and the criterion of concentration of distribution around the true value.

引用

页码：293 / 304

页数：12

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