An MSE comparison of the restricted Stein-rule and minimum mean squared error estimators in regression |
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Authors: | Kazuhiro Ohtani |
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Affiliation: | (1) Faculty of Economics, Kobe University, Rokko, Nada-ku, 657-8501 Kobe, Japan |
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Abstract: | In this paper, we consider the feasible minimum mean squared error (FMMSE) estimator and the adjusted FMMSE (AFMMSE) estimator
which are obtained by shrinking the ordinary least squares (OLS) estimator towards the restricted least squares estimator.
We derive the formulas of MSE for the restricted FMMSE and AFMMSE estimators. By numerical evaluations, the MSE performances
of the restricted FMMSE and AFMMSE estimators are compared with that of the restricted positive-part Stein-rule estimator. |
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Keywords: | Linear restrictions mean squared error minimum mean squared error estimators restricted estimator Stein-rule estimators |
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