Shrinkage estimation of elliptical regression model under balanced loss function

Arashi, M. and Khan, Shahjahan ORCID: https://orcid.org/0000-0002-0446-086X (2012) Shrinkage estimation of elliptical regression model under balanced loss function. In: 12th Islamic Countries Conference on Statistical Sciences (ICCS 2012): Statistics for Everyone and Everywhere, 19-22 Dec 2012, Doha, Qatar.

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Abstract

For the multiple regression model with error vector following elliptically contoured distribution we propose Bayesian shrinkage estimators under balanced loss function. Comparing a set of competing estimators for the regression vector, it is shown that the shrinkage factor of the Stein estimator is robust with respect to the regression parameters and unknown density generator of elliptical models. The dominance relation of the estimators is also provided.


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Item Type: Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)
Refereed: Yes
Item Status: Live Archive
Additional Information: © 2013 Islamic Countries Society of Statistical Sciences.
Faculty/School / Institute/Centre: Historic - Faculty of Sciences - Department of Maths and Computing (Up to 30 Jun 2013)
Faculty/School / Institute/Centre: Historic - Faculty of Sciences - Department of Maths and Computing (Up to 30 Jun 2013)
Date Deposited: 29 Oct 2013 01:55
Last Modified: 27 Jun 2017 05:44
Uncontrolled Keywords: Bayes estimator; elliptically contoured distribution; Stein-type shrinkage estimator; positive-rule
Fields of Research (2008): 01 Mathematical Sciences > 0104 Statistics > 010401 Applied Statistics
01 Mathematical Sciences > 0101 Pure Mathematics > 010107 Mathematical Logic, Set Theory, Lattices and Universal Algebra
01 Mathematical Sciences > 0102 Applied Mathematics > 010203 Calculus of Variations, Systems Theory and Control Theory
Fields of Research (2020): 49 MATHEMATICAL SCIENCES > 4905 Statistics > 490501 Applied statistics
49 MATHEMATICAL SCIENCES > 4904 Pure mathematics > 490407 Mathematical logic, set theory, lattices and universal algebra
49 MATHEMATICAL SCIENCES > 4901 Applied mathematics > 490103 Calculus of variations, mathematical aspects of systems theory and control theory
Socio-Economic Objectives (2008): E Expanding Knowledge > 97 Expanding Knowledge > 970101 Expanding Knowledge in the Mathematical Sciences
URI: http://eprints.usq.edu.au/id/eprint/24216

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