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 ID	791
Article Category	Article
Authors	Hoque, Zahirul, Wesolowski, Jacek and Hossain, Shahadut
Journal Title	Communications in Statistics: Theory and Methods
Journal Citation	47 (22), pp. 5547-5557
Number of Pages	11
Year	2018
Publisher	Taylor & Francis
Place of Publication	United States
ISSN	0361-0926
	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.
Keywords	Linear regressio; Normal error; Shrinkage estimator; Pre-test estimator; INEX lossand risk function
Contains Sensitive Content	Does not contain sensitive content
ANZSRC Field of Research 2020	490509. Statistical theory
Public Notes	Files associated with this item cannot be displayed due to copyright restrictions.
Byline Affiliations	United Arab Emirates University, United Arab Emirates
	Warsaw University of Technology, Poland

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