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Unbiased estimation of the MSE matrices of improved estimators in linear regression
Wan, ATK; Chaturvedi, A; Zou, GH
2003-02-01
Source PublicationJOURNAL OF APPLIED STATISTICS
ISSN0266-4763
Volume30Issue:2Pages:173-189
AbstractStein-rule and other improved estimators have scarcely been used in empirical work. One major reason is that it is not easy to obtain precision measures for these estimators. In this paper, we derive unbiased estimators for both the mean squared error (MSE) and the scaled MSE matrices of a class of Stein-type estimators. Our derivation provides the basis for measuring the estimators' precision and constructing confidence bands. Comparisons are made between these MSE estimators and the least squares covariance estimator. For illustration, the methodology is applied to data on energy consumption.
DOI10.1080/0266476022000023730
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000180623500004
PublisherCARFAX PUBLISHING
Citation statistics
Cited Times:7[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/18834
Collection中国科学院数学与系统科学研究院
Affiliation1.City Univ Hong Kong, Dept Management Sci, Hong Kong, Hong Kong, Peoples R China
2.Univ Allahabad, Dept Math & Stat, Allahabad 211002, Uttar Pradesh, India
3.Chinese Acad Sci, Inst Syst Sci, Beijing 100864, Peoples R China
Recommended Citation
GB/T 7714
Wan, ATK,Chaturvedi, A,Zou, GH. Unbiased estimation of the MSE matrices of improved estimators in linear regression[J]. JOURNAL OF APPLIED STATISTICS,2003,30(2):173-189.
APA Wan, ATK,Chaturvedi, A,&Zou, GH.(2003).Unbiased estimation of the MSE matrices of improved estimators in linear regression.JOURNAL OF APPLIED STATISTICS,30(2),173-189.
MLA Wan, ATK,et al."Unbiased estimation of the MSE matrices of improved estimators in linear regression".JOURNAL OF APPLIED STATISTICS 30.2(2003):173-189.
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