教師資料查詢 | 類別: 期刊論文 | 教師: 林志鴻 Jyh-horng Lin (瀏覽個人網頁)

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
ISSN1027-6084
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
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