Performance of preliminary test estimator under linex loss function

Hoque, Zahirul and Khan, Shahjahan and Wesolowski, Jacek (2009) Performance of preliminary test estimator under linex loss function. Communications in Statistics: Theory and Methods, 38 (2). pp. 252-261. ISSN 0361-0926

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This paper studies the performance of the unrestricted estimator (UE) and preliminary test estimator (PTE) of the slope parameter of simple linear regression model under linex loss function. The risk functions of both the UE and PTE are derived. The moment generating function (MGF) of the PTE is derived which turns out to be a component of the risk function. From the MGF the rst two moments of the PTE are obtained and found to be identical to that obtained by using a dierent approach in Khan et al. (2002). The performance of the PTE is compared with that of the UE by using the analytical and graphical as well as the numerical methods.
It is revealed that if the uncertain non-sample prior information about the value of the slope is not too far from its true value then the PTE outperforms the UE.

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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Publisher: Taylor & Francis
Item Status: Live Archive
Additional Information (displayed to public): Author version deposited in accordance with the copyright policy of publisher. This is an electronic version of an article published in Communications in Statistics - Theory and Methods, 38(2), 252-261. Communications in Statistics - Theory and Methods is available online at: Reference: Hoque, Z., Khan, S., and Wesolowiski, J. (2009). Performance of Preliminary Test Estimator under Linex Loss Function, Communications in Statistics - Theory and Methods, 38(2), 252-261.
Depositing User: Professor Shahjahan Khan
Faculty / Department / School: Historic - Faculty of Sciences - Department of Maths and Computing
Date Deposited: 28 Feb 2010 04:33
Last Modified: 02 Jul 2013 23:40
Uncontrolled Keywords: linex loss; non-sample prior information; unrestricted estimator; preliminary test estimator; risk function
Fields of Research (FoR): 01 Mathematical Sciences > 0104 Statistics > 010405 Statistical Theory
01 Mathematical Sciences > 0104 Statistics > 010404 Probability Theory
Socio-Economic Objective (SEO): E Expanding Knowledge > 97 Expanding Knowledge > 970101 Expanding Knowledge in the Mathematical Sciences
Identification Number or DOI: doi: 10.1080/03610920802192471

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