MSE performance andminimax regret significance points for a HPT estimator under a multivariate t error distribution

作者：Xu, Haifeng^*

来源：Communications in Statistics - Theory and Methods, 2017, 46(7): 3123-3134.

DOI：10.1080/03610926.2015.1056364

• Feasible ridge regression estimator
• Heterogeneous preliminary test estimator
• MSE performance
• Multivariate t distribution
• Optimal critical value

In this article, assuming that the error terms followa multivariate t distribution, we derive the exact formulae forthe moments of the heterogeneous preliminary test (HPT) estimator proposed by Xu (2012b). We also execute the numerical evaluation to investigate themean squared error (MSE) performance of the HPT estimator and compare it with those of the feasible ridge regression (FRR) estimator and the usual ordinary least squared (OLS) estimator. Further, we derive the optimal critical values of the preliminary F test for the HPT estimator, using the minimax regret function proposed by Sawa and Hiromatsu (1973). Our results show that (1) the optimal significance level (alpha*) increases as the degrees of freedom of multivariate t distribution (nu(0)) increases; (2) when nu(0) >= 10, the value of alpha* is close to that in the normal error case.

• 出版日期2017
• 单位厦门大学