EconPapers    
Economics at your fingertips  
 

Mean squared error of James–Stein estimators for measurement error models

Meixi Guo and Malay Ghosh

Statistics & Probability Letters, 2012, vol. 82, issue 11, 2033-2043

Abstract: Whittemore (1989) in an interesting paper considered estimation of regression coefficients in measurement error models. She had the very interesting result which showed how to overcome the inconsistency of the usual least squares estimator of the regression coefficient in a measurement error model by an alternative James–Stein (James and Stein, 1961) estimator. The author did not provide a rigorous proof for the consistency of the suggested estimator, nor did she provide MSE of her estimator. Our objective is to provide a rigorous second order expansion of the mean squared error of the proposed James–Stein estimator under both known measurement variance and unknown measurement variance.

Keywords: Efficiency; Empirical Bayes; James–Stein estimator; Mean squared error (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715212002532
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:82:y:2012:i:11:p:2033-2043

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2012.06.019

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:stapro:v:82:y:2012:i:11:p:2033-2043