Title of article :
Shrinkage Estimation in Restricted Elliptical Regression Models
Author/Authors :
Fallah, Reza Department of Statistics - Ferdowsi University of Mashhad - International campus, Iran , Arashi, Mohammad Department of Statistics - Shahrood University of Technology, Shahrood, Iran , M. Tabatabaey, Seyed Mohammad Department of Statistics - Ferdowsi University of Mashhad, Mashhad, Iran
Abstract :
In the restricted elliptical linear model, an approximation for the risk of a general shrinkage estimator of the regression vector-parameter is given. Superiority
condition of the shrinkage estimator over the restricted estimator is investigated under the elliptical assumption. It is evident from numerical results that the shrinkage estimator performs better than the unrestricted one in the multivariate t-regression model
Keywords :
Shrinkage estimator , Restricted estimator , Approximate risk , Elliptically contoured distribution , Linear regression model
Journal title :
Journal of the Iranian Statistical Society (JIRSS)
