Improved estimation in a multivariate regression with measurement error

• Published in: Journal of statistical computation and simulation Vol. 94; no. 8; pp. 1691 - 1714
• Main Authors: Nkurunziza, Sévérien, (Eric) Li, Yubin
• Format: Journal Article
• Language: English
• Published: Abingdon Taylor & Francis 23.05.2024; Taylor & Francis Ltd
• Subjects: ADR; asymptotic normality; Asymptotic properties; Constrictions; Error analysis; Estimators; measurement error; Multivariate analysis; multivariate regression model; Regression coefficients; Regression models; restricted estimator; shrinkage estimators; Stein rules; unrestricted estimator

In this paper, we study the estimation problem about the regression coefficients of a multivariate regression model with measurement errors under some uncertain restrictions. Specifically, we propose the unrestricted estimator (UE) and three restricted estimators (REs), and prove that they are all c...