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 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

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