Unbiased estimation of the MSE matrices of improved estimators in linear regression

doi:10.1080/0266476022000023730

	Unbiased estimation of the MSE matrices of improved estimators in linear regression
	Wan, ATK ; Chaturvedi, A ; Zou, GH
刊名	JOURNAL OF APPLIED STATISTICS
	2003-02-01
卷号	30 期号:2 页码:173-189
ISSN号	0266-4763
DOI	10.1080/0266476022000023730
英文摘要	Stein-rule and other improved estimators have scarcely been used in empirical work. One major reason is that it is not easy to obtain precision measures for these estimators. In this paper, we derive unbiased estimators for both the mean squared error (MSE) and the scaled MSE matrices of a class of Stein-type estimators. Our derivation provides the basis for measuring the estimators' precision and constructing confidence bands. Comparisons are made between these MSE estimators and the least squares covariance estimator. For illustration, the methodology is applied to data on energy consumption.
WOS研究方向	Mathematics
语种	英语
出版者	CARFAX PUBLISHING
WOS记录号	WOS:000180623500004
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/18833]
专题	中国科学院数学与系统科学研究院
通讯作者	Wan, ATK
作者单位	1.City Univ Hong Kong, Dept Management Sci, Hong Kong, Hong Kong, Peoples R China 2.Univ Allahabad, Dept Math & Stat, Allahabad 211002, Uttar Pradesh, India 3.Chinese Acad Sci, Inst Syst Sci, Beijing 100864, Peoples R China
推荐引用方式 GB/T 7714	Wan, ATK,Chaturvedi, A,Zou, GH. Unbiased estimation of the MSE matrices of improved estimators in linear regression[J]. JOURNAL OF APPLIED STATISTICS,2003,30(2):173-189.
APA	Wan, ATK,Chaturvedi, A,&Zou, GH.(2003).Unbiased estimation of the MSE matrices of improved estimators in linear regression.JOURNAL OF APPLIED STATISTICS,30(2),173-189.
MLA	Wan, ATK,et al."Unbiased estimation of the MSE matrices of improved estimators in linear regression".JOURNAL OF APPLIED STATISTICS 30.2(2003):173-189.