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Shrinkage estimator of regression model under asymmetric loss.
- Source :
-
Communications in Statistics: Theory & Methods . 2018, Vol. 47 Issue 22, p5547-5557. 11p. - Publication Year :
- 2018
-
Abstract
- This article investigates the performance of the shrinkage estimator (SE) of the parameters of a simple linear regression model under the LINEX loss criterion. The risk function of the estimator under the asymmetric LINEX loss is derived and analyzed. The moment-generating functions and the first two moments of the estimators are also obtained. The risks of the SE have been compared numerically with that of pre-test and least-square estimators (LSEs) under the LINEX loss criterion. The numerical comparison reveals that under certain conditions the LSE is inadmissible, and the SE is the best among the three estimators. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03610926
- Volume :
- 47
- Issue :
- 22
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Theory & Methods
- Publication Type :
- Academic Journal
- Accession number :
- 131350863
- Full Text :
- https://doi.org/10.1080/03610926.2017.1397169