Shrinkage estimator of regression model under asymmetric loss

被引：4

作者：

Hoque, Zahirul ^{[1
]}

Wesolowski, Jacek ^{[2
]}

Hossain, Shahadut ^{[1
]}

机构：

[1] United Arab Emirates Univ, Dept Stat, Al Ain, U Arab Emirates

[2] Warsaw Univ Technol, Fac Math & Informat Sci, Warsaw, Poland

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2018年 / 47卷 / 22期

关键词：

Linear regression; Normal error; Shrinkage estimator; Pre-test estimator; LINEX loss and risk function; Primary; 62C12; 62C15; Secondary; 62F10; LINEX LOSS FUNCTION; PREDICTION;

D O I：

10.1080/03610926.2017.1397169

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：5547 / 5557

页数：11

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