Unbiased estimation of the MSE matrices of improved estimators in linear regression

doi:10.1080/0266476022000023730

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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
发表期刊	JOURNAL OF APPLIED STATISTICS
ISSN	0266-4763
卷号	30 期号:2 页码:173-189
摘要	Stein-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.
DOI	10.1080/0266476022000023730
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000180623500004
出版者	CARFAX PUBLISHING
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/18834
专题	中国科学院数学与系统科学研究院
通讯作者	Wan, ATK
作者单位	1.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
推荐引用方式 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.