Dominance of the Positive - Part Shrinkage Estimator when Each Individual Regression Coe ffi cient is Estimated

نویسنده

  • Akio Namba
چکیده

In this paper we consider a regression model and a general family of shrinkage estimators of regression coefficients. We derive the formula for the mean squared error (MSE) of the estimators for each individual regression coefficient. It is shown analytically that the usual shrinkage estimators are dominated by their positivepart variants in terms of MSE.

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تاریخ انتشار 2010