中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
首页 机构 成果 学者
  
  1. CAS IR Grid
  2. 数学与系统科学研究院
  3. 中国科学院数学与系统科学研究院
Estimating the error variance after a pre-test for an interval restriction on the coefficients

文献类型：期刊论文

作者Zhu, Rong2; Zhou, Sherry Z. F.1
刊名COMPUTATIONAL STATISTICS & DATA ANALYSIS
出版日期2011-07-01
卷号55期号:7页码:2312-2323
关键词Error variance Interval restriction Pre-test Model misspecification
ISSN号0167-9473
DOI10.1016/j.csda.2011.01.019
英文摘要This paper considers the estimation of the error variance after a pre-test of an interval restriction on the coefficients. We derive the exact finite sample risks of the interval restricted and pre-test estimators of the error variance, and examine the risk properties of the estimators to model misspecification through the omission of relevant regressors. It is found that the pre-test estimator performs better than the interval restricted estimator in terms of the risk properties in a large region of the parameter space; moreover, its risk performance is more robust with respect to the degrees of model misspecification. Furthermore, we propose a bootstrap procedure for estimating the risks of the estimators, to overcome the difficulty of computing the exact risks. (C) 2011 Elsevier B.V. All rights reserved.
WOS研究方向Computer Science ; Mathematics
语种英语
WOS记录号WOS:000290081300009
出版者ELSEVIER SCIENCE BV
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/11915]  
专题中国科学院数学与系统科学研究院
通讯作者Zhou, Sherry Z. F.
作者单位1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
2.Chinese Acad Sci, MADIS, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Zhu, Rong,Zhou, Sherry Z. F.. Estimating the error variance after a pre-test for an interval restriction on the coefficients[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS,2011,55(7):2312-2323.
APA Zhu, Rong,&Zhou, Sherry Z. F..(2011).Estimating the error variance after a pre-test for an interval restriction on the coefficients.COMPUTATIONAL STATISTICS & DATA ANALYSIS,55(7),2312-2323.
MLA Zhu, Rong,et al."Estimating the error variance after a pre-test for an interval restriction on the coefficients".COMPUTATIONAL STATISTICS & DATA ANALYSIS 55.7(2011):2312-2323.

入库方式： OAI收割

来源：数学与系统科学研究院

浏览0
下载0
收藏0
其他版本

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。