Improved Estimation in regression with Varying Penalty
Article
Article Title | Improved Estimation in regression with Varying Penalty |
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ERA Journal ID | 39886 |
Article Category | Article |
Authors | Hoque, Zahirul and Hossain, Shahadut |
Journal Title | Journal of Statistical Theory and Practice |
Journal Citation | 6, pp. 260-273 |
Number of Pages | 14 |
Year | 2012 |
Publisher | Springer |
Place of Publication | Germany |
ISSN | 1559-8608 |
1559-8616 | |
Digital Object Identifier (DOI) | https://doi.org/10.1080/15598608.2012.673878 |
Web Address (URL) | https://link.springer.com/article/10.1080/15598608.2012.673878 |
Abstract | This article considers the estimation of the intercept parameter of a simple linear regression model under asymmetric linex loss. The least-squares estimator (LSE) and the preliminary test estimator (PTE) are defined. The risk functions of the estimators are derived. The moment-generating function (MGF) and the first two moments of the PTE are shown. The risk of the PTE is compared with that of the LSE. The analyses show that if the nonsample prior information about the value of the parameter is not too far from its true value, the PTE dominates the traditional LSE. |
Keywords | Asymmetric loss; Preliminary test estimator; Intercept parameter; Prior information |
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 |
https://research.usq.edu.au/item/z3qzx/improved-estimation-in-regression-with-varying-penalty
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