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Comparison of two estimators of parameters under Pitman nearness criterion. (English) Zbl 1201.62071

Summary: The E. J. G. Pitman nearness criterion [Proc. Camb. Philos. Soc. 33, 212–222 (1937; Zbl 0016.36404)] is used to compare two competing united biased estimators in a linear model. In particular, a sufficient and necessary condition for one estimator being superior to the other is derived. Furthermore, a simulation study is performed to illustrate the theoretical results and several special cases are also studied.

MSC:

62H12 Estimation in multivariate analysis
62J05 Linear regression; mixed models
62J07 Ridge regression; shrinkage estimators (Lasso)
65C60 Computational problems in statistics (MSC2010)

Citations:

Zbl 0016.36404
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References:

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