---, Shalabh; Toutenburg, Helge; Heumann, Christian (10. Dezember 2007): Stein-Rule Estimation under an Extended Balanced Loss Function. Department of Statistics: Technical Reports, Nr. 7




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.