Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances. (English) Zbl 1282.93238
Summary: This paper considers the estimation of a subset of regression coefficients in a linear regression model with non-spherical disturbances, when other regression coefficients are of no interest. A family of estimators is considered and its asymptotic distribution is derived. This proposed family of improved estimators is compared with the usual unrestricted FGLS estimator, and dominance conditions are obtained with respect to risk under quadratic loss as well as the Pitman nearness criterion. The results of a numerical simulation are presented to illustrate the risk performance of various estimators.
MSC:
| 93E10 | Estimation and detection in stochastic control theory |
| 93C73 | Perturbations in control/observation systems |
| 93C05 | Linear systems in control theory |
Keywords:
large sample asymptotic; minimum Mean square error; non-spherical disturbances; Pitman nearness criterion quadratic loss; riskReferences:
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