Shrinkage estimation of elliptical regression model under balanced loss function

Arashi, M. and Khan, Shahjahan (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.

[img]
Preview
Text (Documentation)
ICCS2012.pdf

Download (239Kb) | Preview
[img]
Preview
Text (Published Version)
Arashi_Khan_ICCS2012_PV.pdf

Download (984Kb) | Preview

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.


Statistics for USQ ePrint 24216
Statistics for this ePrint Item
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 / Department / School: Historic - Faculty of Sciences - Department of Maths and Computing
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 : 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
Socio-Economic Objective: E Expanding Knowledge > 97 Expanding Knowledge > 970101 Expanding Knowledge in the Mathematical Sciences
URI: http://eprints.usq.edu.au/id/eprint/24216

Actions (login required)

View Item Archive Repository Staff Only