Shalabh and Toutenburg, Helge and Heumann, Christian
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
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.