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Journal of Statistical Theory and Practice

, Volume 6, Issue 2, pp 260–273 | Cite as

Improved Estimation in Regression With Varying Penalty

  • Zahirul Hoque
  • Shahadut Hossain
Article

Abstract

This article considers the estimation of the intercept parameter of a simple linear regression model under asymmetric linex loss. The least-squares estimator (LSE) and the preliminary test estimator (PTE) are defined. The risk functions of the estimators are derived. The moment-generating function (MGF) and the first two moments of the PTE are shown. The risk of the PTE is compared with that of the LSE. The analyses show that if the nonsample prior information about the value of the parameter is not too far from its true value, the PTE dominates the traditional LSE.

AMS Subject Classification

62J05 62G05 

Keywords

Asymmetric loss Prior information Intercept parameter Preliminary test estimator 

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Copyright information

© Grace Scientific Publishing 2012

Authors and Affiliations

  1. 1.United Arab Emirates UniversityAl AinUnited Arab Emirates

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