Translator Disclaimer
December, 1987 On Preliminary Test and Shrinkage $M$-Estimation in Linear Models
Pranab Kumar Sen, A. K. M. Ehsanes Saleh
Ann. Statist. 15(4): 1580-1592 (December, 1987). DOI: 10.1214/aos/1176350611

Abstract

In a general univariate linear model, $M$-estimation of a subset of parameters is considered when the complementary subset is plausibly redundant. Along with the classical versions, both the preliminary test and shrinkage versions of the usual $M$-estimators are considered and, in the light of their asymptotic distributional risks, the relative asymptotic risk-efficiency results are studied in detail. Though the shrinkage $M$-estimators may dominate their classical versions, they do not, in general, dominate the preliminary test versions.

Citation

Download Citation

Pranab Kumar Sen. A. K. M. Ehsanes Saleh. "On Preliminary Test and Shrinkage $M$-Estimation in Linear Models." Ann. Statist. 15 (4) 1580 - 1592, December, 1987. https://doi.org/10.1214/aos/1176350611

Information

Published: December, 1987
First available in Project Euclid: 12 April 2007

zbMATH: 0639.62046
MathSciNet: MR913575
Digital Object Identifier: 10.1214/aos/1176350611

Subjects:
Primary: 62C16
Secondary: 62F10, 62G05, 62H12

Rights: Copyright © 1987 Institute of Mathematical Statistics

JOURNAL ARTICLE
13 PAGES


SHARE
Vol.15 • No. 4 • December, 1987
Back to Top