Regression Model With Elliptically Contoured Errors

Details Regression Model With Elliptically Contoured Errors Regression Model With Elliptically Contoured Errors

2012-03-20

arxiv.org/abs/1203.4427v1

Mathematics

Statistics Theory

final version will be published in Statistics: A Journal of Theoretical and Applied Statistics

Scientific paper

For the regression model where the errors follow the elliptically contoured distribution (ECD), we consider the least squares (LS), restricted LS (RLS), preliminary test (PT), Stein-type shrinkage (S) and positive-rule shrinkage (PRS) estimators for the regression parameters. We compare the quadratic risks of the estimators to determine the relative dominance properties of the five estimators.

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