On pre-test estimation of parametric functions in the general Gauss-Markov model with quadratic risk

The approach to preliminary test estimation based on comparing the weighted quadratic risk function of two competing estimators of β under the linear regression model {y,Xβ, σ2 I} is extended to the case when a given vector of parametric functions κ=Kβ is to be estimated under the general Gauss-Mark...

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Bibliographic Details
Published in:Statistical papers (Berlin, Germany) Germany), 1999-10, Vol.40 (4), p.469-478
Main Author: Pordzik, Pawel
Format: Article
Language:English
Subjects:
Equality
Estimators
Hypotheses
Markov chains
Mathematical analysis
Mathematical models
Regression
Regression analysis
Regression models
Risk
Vectors (mathematics)
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Summary:The approach to preliminary test estimation based on comparing the weighted quadratic risk function of two competing estimators of β under the linear regression model {y,Xβ, σ2 I} is extended to the case when a given vector of parametric functions κ=Kβ is to be estimated under the general Gauss-Markov model. [PUBLICATION ABSTRACT]
ISSN:0932-5026
1613-9798
DOI:10.1007/BF02934637