Double k-Class Estimators in Regression Models with Non-spherical Disturbances |
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Authors: | Alan T K Wan Anoop Chaturvedi |
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Institution: | a City University of Hong Kong, Kowloon, Hong Kong;b University of Allahabad, India |
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Abstract: | In this paper, we consider a family of feasible generalised double k-class estimators in a linear regression model with non-spherical disturbances. We derive the large sample asymptotic distribution of the proposed family of estimators and compare its performance with the feasible generalized least squares and Stein-rule estimators using the mean squared error matrix and risk under quadratic loss criteria. A Monte-Carlo experiment investigates the finite sample behaviour of the proposed family of estimators. |
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Keywords: | bias dominance large sample asymptotic quadratic loss mean squared error Monte-Carlo simulation risk |
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