期刊論文

標題 An Improved Method of Predicting the Future: A Result on Improving the Stein-Rule Shrinkage Estimators of Regression Coefficients
學年 85
學期 2
出版(發表)日期 1997/05/01
作品名稱 An Improved Method of Predicting the Future: A Result on Improving the Stein-Rule Shrinkage Estimators of Regression Coefficients
作品名稱(其他語言)
著者 Chang, Ching-Hui; Pal, Nabendu; Lin, Jyh-Jiuan; Lin, Jyh-Horng
單位 淡江大學統計學系; 淡江大學國際企業學系
出版者 臺北縣:淡江大學未來學研究所
著錄名稱、卷期、頁數 Journal of futures studies=未來研究叢刊 1(2), pp.51-62
摘要 A major use of linear regression models is to predict the future. An improved shrinkage estimator of the regression coefficients leads to a better of the dependent (response) variable in terms of lower Prediction mean squared error. Therefore, in this paper we consider the Problem of improved estimation of the unknown coefficients of a linear Regression model under usual normality assumption. It is well known that the ordinary least squares (OLS) estimator of the regression coefficients can be dominated by the Stein-rule estimators which are again dominated by their "Positive-part" versions. In this paper we show that the estimators can be dominated by a new type of estimators which are quite different from the "positive-part" estimators.
關鍵字 Quadratic loss; risk function; shrinkage estimation
語言 英文
ISSN 1027-6084
期刊性質 國內
收錄於
產學合作
通訊作者
審稿制度
國別 中華民國
公開徵稿
出版型式 紙本