Shrinkage Estimator of Regression Model Under Asymmetric Loss

Article

Hoque, Zahirul, Wesolowski, Jacek and Hossain, Shahadut. 2018. "Shrinkage Estimator of Regression Model Under Asymmetric Loss." Communications in Statistics: Theory and Methods. 47 (22), pp. 5547-5557. https://doi.org/10.1080/03610926.2017.1397169
Article Title

Shrinkage Estimator of Regression Model Under Asymmetric Loss

ERA Journal ID791
Article CategoryArticle
AuthorsHoque, Zahirul, Wesolowski, Jacek and Hossain, Shahadut
Journal TitleCommunications in Statistics: Theory and Methods
Journal Citation47 (22), pp. 5547-5557
Number of Pages11
Year2018
PublisherTaylor & Francis
Place of PublicationUnited States
ISSN0361-0926
1532-415X
Digital Object Identifier (DOI)https://doi.org/10.1080/03610926.2017.1397169
Web Address (URL)https://www.tandfonline.com/doi/abs/10.1080/03610926.2017.1397169
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.

KeywordsLinear regressio; Normal error; Shrinkage estimator; Pre-test estimator; INEX lossand risk function
Contains Sensitive ContentDoes not contain sensitive content
ANZSRC Field of Research 2020490509. Statistical theory
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Byline AffiliationsUnited Arab Emirates University, United Arab Emirates
Warsaw University of Technology, Poland
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