Proc. ICCS-12, Doha, Qatar December 19-22, 2012, Vol. 23...
Transcript of Proc. ICCS-12, Doha, Qatar December 19-22, 2012, Vol. 23...
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Proc. ICCS-12, Doha, Qatar
December 19-22, 2012, Vol. 23, pp. 519-528
SHRINKAGE ESTIMATION OF ELLIPTICAL REGRESSION MODEL
UNDER BALANCED LOSS FUNCTION
M. Arashi1 and Shahjahan Khan
2
1 Faculty of Mathematics, Shahrood University of Technology,
Shahrood, Iran. Email:[email protected] 2
University of Southern Queensland, Toowoomba,
Queensland, Australia. Email: [email protected]
ABSTRACT
For the multiple regression model with error vector following elliptically contoured
distribution we propose Bayesian shrinkage estimators under balanced loss function.
Comparing a set of competing estimators for the regression vector, it is shown that the
shrinkage factor of the Stein estimator is robust with respect to the regression parameters
and unknown density generator of elliptical models. The dominance relation of the
estimators is also provided.
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