Risk and Pitman closeness properties of feasible generalized double k-class estimators in linear regression models with non-spherical disturbances under balanced loss function
Anoop Chaturvedi () and
Journal of Multivariate Analysis, 2004, vol. 90, issue 2, 229-256
In this article, a family of feasible generalized double k-class estimator in a linear regression model with non-spherical disturbances is considered. The performance of this estimator is judged with feasible generalized least-squares and feasible generalized Stein-rule estimators under balanced loss function using the criteria of quadratic risk and general Pitman closeness. A Monte-Carlo study investigates the finite sample properties of several estimators arising from the family of feasible double k-class estimators.
Keywords: Linear; regression; model; Balanced; loss; function; Pitman; closeness; Double; k-class; estimator (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:90:y:2004:i:2:p:229-256
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