Abstract
This article considers the problem of point/set estimation in a specific seemingly unrelated regression model, namely system regression model. Feasible type of shrinkage estimator and its positive part are defined for the effective regression coefficient vector, when the covariance matrix of the error term is assumed to be unknown. Their asymptotic distributional properties are evaluated. Further, related improved confidence set problems are discussed. A simulation study is conducted to evaluate the performance of the estimators.
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We would like to thank the Associate Editor and referees for their valuable suggestions which substantially improved the presentation of the paper.
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Arashi, M., Roozbeh, M. Shrinkage estimation in system regression model. Comput Stat 30, 359–376 (2015). https://doi.org/10.1007/s00180-014-0539-5
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DOI: https://doi.org/10.1007/s00180-014-0539-5