𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Estimating Risk and the Mean Squared Error Matrix in Stein Estimation

✍ Scribed by T. Kubokawa; M.S. Srivastava

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
191 KB
Volume
82
Category
Article
ISSN
0047-259X

No coin nor oath required. For personal study only.

✦ Synopsis

It is well known that the uniformly minimum variance unbiased (UMVU) estimators of the risk and the mean squared error (MSE) matrix proposed in the literature for Stein estimators can take negative values with positive probability. In this paper, improved truncated estimators of the risk, risk difference, and MSE matrix are proposed and shown to be better than the UMVU estimators in terms of mean squared error.

πŸ“œ SIMILAR VOLUMES

Break Detectability and Mean Square Fore
Break Detectability and Mean Square Forecast Error Ratios for Selecting Estimation Windows
✍ Hildegart A. Ahumada πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 282 KB

## ABSTRACT It has been suggested that a major problem for window selection when we estimate models for forecasting is to empirically determine the timing of the break. However, if the window choice between post‐break or full sample is based on mean square forecast error ratios, it is difficult to