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Teoriya Veroyatnostei i ee Primeneniya, 1999, Volume 44, Issue 2, Pages 401–418
DOI: https://doi.org/10.4213/tvp775 (Mi tvp775) 		 
This article is cited in 46 scientific papers (total in 46 papers)

The traditional pretest estimator

J. R. Magnus

CentER, Tilburg University, The Netherlands
Full-text PDF (1021 kB) Citations (46)
DOI: https://doi.org/10.4213/tvp775
Abstract: We consider the problem of estimating k coefficients of interest in a linear regression model when the $(k + 1)$st coefficient is of no interest. The traditional pretest estimator is a two-step estimator of the coefficients of interest based on a t-test for the $(k + 1)$st coefficient. We study the behaviorof this estimator. Questions of admissibility, risk, and regret are addressed.
Keywords: regression analysis, model selection, biased estimation, univariate normal mean, mean squared error criterion, minimax regret.
Received: 07.09.1998
English version:
Theory of Probability and its Applications, 2000, Volume 44, Issue 2, Pages 293–308
DOI: https://doi.org/10.1137/S0040585X97977604
Bibliographic databases:
Language: English
Citation: J. R. Magnus, “The traditional pretest estimator”, Teor. Veroyatnost. i Primenen., 44:2 (1999), 401–418; Theory Probab. Appl., 44:2 (2000), 293–308
Citation in format AMSBIB
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\paper The traditional pretest estimator
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\pages 401--418
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\transl
\jour Theory Probab. Appl.
\yr 2000
\vol 44
\issue 2
\pages 293--308
\crossref{https://doi.org/10.1137/S0040585X97977604}
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    • This publication is cited in the following 46 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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