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Comparing Risks of Estimators in Multiple Regression Model with Multivariate t Errors
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Mohammad Arashi *   , Mahammad Mahdi Tabatabaei |
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Abstract: (26146 Views) |
| In this paper, we obtain the generalized least square, restricted generalized least square and shrinkage estimators for the regression vector parameter assuming that the errors have multivariate t distribution. Also we calculate their quadratic risks and propose the dominance order of the underlying estimators. |
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| Keywords: Generalized Least Square Estimator, Restricted Generalized Least Square Estimator, Shrinkage Estimator, Inverse Wishart Distribution. |
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Full-Text [PDF 508 kb]
(4409 Downloads)
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Type of Study: Research |
Subject:
Statistical Inference
Received: 2011/07/4 | Accepted: 2013/08/13 | Published: 2020/02/18
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