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Performance of double k-class estimators for coefficients in linear regression models with non-spherical disturbances under asymmetric losses

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  • Shalabh,
  • Garg, G.
  • Heumann, C.

Abstract

The risk associated with the estimators of the family of feasible generalized double k-class estimators under the LINEX loss function is derived in a linear regression model. The disturbances are assumed to be non-spherical and their variance–covariance matrix is unknown. A simulation study is conducted to study the risk of some important estimators in the family of feasible generalized double k-class estimators.

Suggested Citation

  • Shalabh, & Garg, G. & Heumann, C., 2012. "Performance of double k-class estimators for coefficients in linear regression models with non-spherical disturbances under asymmetric losses," Journal of Multivariate Analysis, Elsevier, vol. 112(C), pages 35-47.
    • Handle: RePEc:eee:jmvana:v:112:y:2012:i:c:p:35-47
    DOI: 10.1016/j.jmva.2012.05.014
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    References listed on IDEAS

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