Improved Estimation in regression with Varying Penalty

Article

Hoque, Zahirul and Hossain, Shahadut. 2012. "Improved Estimation in regression with Varying Penalty." Journal of Statistical Theory and Practice. 6, pp. 260-273. https://doi.org/10.1080/15598608.2012.673878
Article Title

Improved Estimation in regression with Varying Penalty

ERA Journal ID39886
Article CategoryArticle
AuthorsHoque, Zahirul and Hossain, Shahadut
Journal TitleJournal of Statistical Theory and Practice
Journal Citation6, pp. 260-273
Number of Pages14
Year2012
PublisherSpringer
Place of PublicationGermany
ISSN1559-8608
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.

KeywordsAsymmetric loss; Preliminary test estimator; Intercept parameter; Prior information
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
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