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Extension of some important identities in shrinkage-pretest strategies

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  • Sévérien Nkurunziza

Abstract

In this paper, we establish three identities which play a crucial role in deriving the asymptotic distributional risk function and the asymptotic distributional bias of a large class of estimators of a matrix parameter. In particular, we generalize the results in Judge and Bock (The statistical implication of pre-test and Stein-rule estimators in econometrics. North Holland, Amsterdam, 1978 ). The established results are useful in risk analysis of a class of Stein-rule type matrix estimators. Copyright Springer-Verlag Berlin Heidelberg 2013

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  • Sévérien Nkurunziza, 2013. "Extension of some important identities in shrinkage-pretest strategies," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(7), pages 937-947, October.
    • Handle: RePEc:spr:metrik:v:76:y:2013:i:7:p:937-947
    DOI: 10.1007/s00184-012-0425-5
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    References listed on IDEAS

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    1. Sévérien Nkurunziza & S. Ejaz Ahmed, 2011. "Estimation strategies for the regression coefficient parameter matrix in multivariate multiple regression," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(4), pages 387-406, November.
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    Cited by:

    1. Sévérien Nkurunziza, 2023. "Estimation and Testing in Multivariate Generalized Ornstein-Uhlenbeck Processes with Change-Points," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 351-400, February.

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