Some specific contiguous alternatives to the normal error assumption in linear models

Some contributions to selection and esti

Some contributions to selection and estimation in the normal linear model

✍ J. H. Venter; S. J. Steel 📂 Article 📅 1992 🏛 Springer Japan 🌐 English ⚖ 837 KB

We study the choice of the quantity a in the FPE~ criterion for selecting a member of a class of normal linear models having an orthogonal structure. Two approaches are discussed, namely fixing the maximal estimation risk at a prescribed level and using minimax regret. Estimation of the risk actuall