Shrinkage estimator of regression model under asymmetric loss

Zahirul Hoque, Jacek Wesolowski, Shahadut Hossain

    Research output: Contribution to journalArticlepeer-review

    5 Citations (Scopus)


    This article investigates the performance of the shrinkage estimator (SE) of the parameters of a simple linear regression model under the LINEX loss criterion. The risk function of the estimator under the asymmetric LINEX loss is derived and analyzed. The moment-generating functions and the first two moments of the estimators are also obtained. The risks of the SE have been compared numerically with that of pre-test and least-square estimators (LSEs) under the LINEX loss criterion. The numerical comparison reveals that under certain conditions the LSE is inadmissible, and the SE is the best among the three estimators.

    Original languageEnglish
    Pages (from-to)5547-5557
    Number of pages11
    JournalCommunications in Statistics - Theory and Methods
    Issue number22
    Publication statusPublished - Nov 17 2018


    • LINEX loss and risk function
    • Linear regression
    • Normal error
    • Pre-test estimator
    • Shrinkage estimator

    ASJC Scopus subject areas

    • Statistics and Probability


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