Extension of some important identities in shrinkage-pretest strategies

Sévérien Nkurunziza ()

Metrika: International Journal for Theoretical and Applied Statistics, 2013, vol. 76, issue 7, 937-947

Abstract: In this paper, we establish three identities which play a crucial role in deriving the asymptotic distributional risk function and the asymptotic distributional bias of a large class of estimators of a matrix parameter. In particular, we generalize the results in Judge and Bock (The statistical implication of pre-test and Stein-rule estimators in econometrics. North Holland, Amsterdam, 1978 ). The established results are useful in risk analysis of a class of Stein-rule type matrix estimators. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Asymptotic distributional bias; Asymptotic distributional risk; Identities; Kronecker product; Random matrix; Shrinkage estimator; Stein rule (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:metrik:v:76:y:2013:i:7:p:937-947

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DOI: 10.1007/s00184-012-0425-5

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