Abstract
In this paper, we consider the feasible minimum mean squared error (FMMSE) estimator and the adjusted FMMSE (AFMMSE) estimator which are obtained by shrinking the ordinary least squares (OLS) estimator towards the restricted least squares estimator. We derive the formulas of MSE for the restricted FMMSE and AFMMSE estimators. By numerical evaluations, the MSE performances of the restricted FMMSE and AFMMSE estimators are compared with that of the restricted positive-part Stein-rule estimator.
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Ohtani, K. An MSE comparison of the restricted Stein-rule and minimum mean squared error estimators in regression. Test 7, 361–376 (1998). https://doi.org/10.1007/BF02565118
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DOI: https://doi.org/10.1007/BF02565118
Key words
- Linear restrictions
- mean squared error
- minimum mean squared error estimators
- restricted estimator
- Stein-rule estimators