Article ID Journal Published Year Pages File Type
1154287 Statistics & Probability Letters 2016 7 Pages PDF
Abstract

Using LINear EXponential (LINEX) loss, we formulate the risk of a generic pre-test estimator for the disturbance variance in a misspecified regression model. The dominance and inadmissibility of the Stein estimator of disturbance variance are derived under respective loss configures.

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Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Asymmetric risk of the Stein variance estimator under a misspecified linear regression model
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