Performance of Double k-class Estimators for Coefficients in Linear Regression Models with Non Spherical Disturbances under Asymmetric Losses

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

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.

• Item Type: Paper (Research Paper)
• Collections: Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386; Special Research Fields > Special Research Field 386
• Subjects: 500 Science > 510 Mathematics