Sankhya: The Indian Journal of Statistics
1995, Volume 57, Series B, Pt. 1, pp. 158--165
A NOTE ON THE STEIN RULE ESTIMATION IN LINEAR MODELS WITH NONSCALAR ERROR COVARIANCE MATRIX
ANOOP CHATURVEDI, University of Allahabad
SUMMARY. For the coefficient vector of a linear regression model with non-scalar error covariance matrix. Feasible Generalised Least Squares (FGLS) and Stein rule estimators are considered and taking sample size to be large, condition for the dominance of the Stein rule estimator over the FGLS estimator is obtained under a generalized Pitman nearness criterion.
AMS (1991) subject classification. 62J05, 62J07.
Key words and phrases. Feasible generalized least squares estimator(FGLS), Stein rule estimator, generalized Pitman nearness criterion, non-spherical disturbances, AR(1) disturbances.
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