On Mathematical Characteristics of some Improved Estimators of the Mean and Variance Components in Elliptically Contoured Models

Arashi, M.; Ehsanes Saleh, A. K. Md; Tabatabaey, S. M. M.

On Mathematical Characteristics of some Improved Estimators of the Mean and Variance Components in Elliptically Contoured Models

Authors

M. Arashi

A. K. Md Ehsanes Saleh

S. M. M. Tabatabaey

Abstract

In this paper we treat a general form of location model. It is
typically assumed that the error term is distributed according to the law
belonging to the class of elliptically contoured distribution. Some sorts
of shrinkage estimators of location and scale parameters are proposed
and their exact bias and MSE expressions are derived. The performance
of the estimators under study are completely analyzed and the condition
of superiority of each estimator is studied in details.

Keywords

Elliptically contoured distribution

location model

preliminary test estimator

shrinkage estimator