Abstract
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 language | English |
|---|---|
| Pages (from-to) | 5547-5557 |
| Number of pages | 11 |
| Journal | Communications in Statistics - Theory and Methods |
| Volume | 47 |
| Issue number | 22 |
| DOIs | |
| Publication status | Published - Nov 17 2018 |
Keywords
- 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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