The second-order expansion of the mean squared error matrix of the generalized least squares estimators for the regression parameters is obtained when the samples and ...
In this paper, we consider a linear regression model when relevant regressors are omitted. We derive the explicit formulae for the predictive mean squared errors (PMSEs) of the Stein-rule (SR) ...
This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...
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