Hu, Guikai; Yu, Shenghua; Luo, Han - In: Journal of Multivariate Analysis 133 (2015) C, pp. 266-276
In a misspecified linear regression model with elliptically contoured errors, the exact biases and risks of least squares, restricted least squares, preliminary test and Stein-type estimators of the error variance are derived. Also, we compare the risk performances of the underlying estimators...