Shalabh, ; Toutenburg, Helge; Heumann, Christian
Performance of Double k-class Estimators for Coefficients in Linear Regression Models with Non Spherical Disturbances under Asymmetric Losses.
Sonderforschungsbereich 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.