Chaturvedi, Anoop; Gupta, Suchita; Bhatti, M. Ishaq - In: Journal of Multivariate Analysis 104 (2012) 1, pp. 140-158
This paper considers a general family of Stein rule estimators for the coefficient vector of a linear regression model with nonspherical disturbances, and derives estimators for the Mean Squared Error (MSE) matrix, and risk under quadratic loss for this family of estimators. The confidence...