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---, Shalabh; Toutenburg, Helge and Heumann, Christian (10. December 2007): Stein-Rule Estimation under an Extended Balanced Loss Function. Department of Statistics: Technical Reports, No.7 [PDF, 1MB]

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This paper extends the balanced loss function to a more general set up. The ordinary least squares and Stein-rule estimators are exposed to this general loss function with quadratic loss structure in a linear regression model. Their risks are derived when the disturbances in the linear regression model are not necessarily normally distributed. The dominance of ordinary least squares and Stein-rule estimators over each other and the effect of departure from normality assumption of disturbances on the risk property is studied.

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