Regression model with elliptically contoured errors.

For the regression modely=Xβ+εwhere the errors follow the elliptically contoured distribution, we consider the least squares, restricted least squares, preliminary test, Stein-type shrinkage and positive-rule shrinkage estimators for the regression parameters,β. We compare the quadratic risks of the estimators to determine the relative dominance properties of the five estimators. [ABSTRACT FROM AUTHOR]