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Shalabh, and Toutenburg, Helge and Heumann, Christian (2006): Performance of Double k-class Estimators for Coefficients in Linear Regression Models with Non Spherical Disturbances under Asymmetric Losses. Collaborative Research Center 386, Discussion Paper 509
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Abstract

The risk of the family of feasible generalized double k-class estimators under 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.