Accession Number:

ADA210272

Title:

Improved Estimation of the Disturbance Variance in a Linear Regression Model

Descriptive Note:

Technical rept.

Corporate Author:

STANFORD UNIV CA DEPT OF STATISTICS

Personal Author(s):

Report Date:

1989-07-11

Pagination or Media Count:

14.0

Abstract:

This paper considers estimation of the disturbance variance in a linear regression model. A new class of improved estimators is obtained by extending results dating to Stein 1964. These estimators dominate the ordinary least square estimator under squared error loss.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE