Robustness of Stein-type estimators under a non-scalar error covariance structure

doi:10.1016/j.jmva.2009.03.010

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	Robustness of Stein-type estimators under a non-scalar error covariance structure
	Zhang, Xinyu2 ; Chen, Ti 2; Wan, Alan T. K.1; Zou, Guohua 2
	2009-11-01
发表期刊	JOURNAL OF MULTIVARIATE ANALYSIS
ISSN	0047-259X
卷号	100 期号:10 页码:2376-2388
摘要	The Stein-rule (SR) and positive-part Stein-rule (PSR) estimators are two popular shrinkage techniques used in linear regression, yet very little is known about the robustness of these estimators to the disturbances' deviation from the white noise assumption. Recent studies have shown that the OLS estimator is quite robust, but whether this is so for the SR and PSR estimators is less clear as these estimators also depend on the F statistic which is highly susceptible to covariance misspecification. This study attempts to evaluate the effects of misspecifying the disturbances as white noise on the SR and PSR estimators by a sensitivity analysis. Sensitivity statistics of the SR and PSR estimators are derived and their properties are analyzed. We find that the sensitivity statistics of these estimators exhibit very similar properties and both estimators are extremely robust to MA(1) disturbances and reasonably robust to AR(1) disturbances except for the cases of severe autocorrelation. The results are useful in light of the rising interest of the SR and PSR techniques in the applied literature. (C) 2009 Elsevier Inc. All rights reserved.
DOI	10.1016/j.jmva.2009.03.010
语种	英语
资助项目	Hong Kong Research Grants Council ; National Natural Science Foundation of China[70625004] ; National Natural Science Foundation of China[70221001] ; National Natural Science Foundation of China[10721101]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000274975200020
出版者	ELSEVIER INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/9192
专题	系统科学研究所
通讯作者	Wan, Alan T. K.
作者单位	1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Zhang, Xinyu,Chen, Ti,Wan, Alan T. K.,et al. Robustness of Stein-type estimators under a non-scalar error covariance structure[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2009,100(10):2376-2388.
APA	Zhang, Xinyu,Chen, Ti,Wan, Alan T. K.,&Zou, Guohua.(2009).Robustness of Stein-type estimators under a non-scalar error covariance structure.JOURNAL OF MULTIVARIATE ANALYSIS,100(10),2376-2388.
MLA	Zhang, Xinyu,et al."Robustness of Stein-type estimators under a non-scalar error covariance structure".JOURNAL OF MULTIVARIATE ANALYSIS 100.10(2009):2376-2388.