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Nonparametric estimation of location parameter after a preliminary test on regression in the multivariate case

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  • Sen, Pranab Kumar
  • Saleh, A. K. Md. Ehsanes

Abstract

For a simple multivariate regression model, nonparametric estimation of the (vector of) intercept following a preliminary test on the regression vector is considered. Along with the asymptotic distribution of these estimators, their asymptotic bias and dispersion matrices are studied and allied efficiency results are presented.

Suggested Citation

  • Sen, Pranab Kumar & Saleh, A. K. Md. Ehsanes, 1979. "Nonparametric estimation of location parameter after a preliminary test on regression in the multivariate case," Journal of Multivariate Analysis, Elsevier, vol. 9(2), pages 322-331, June.
    • Handle: RePEc:eee:jmvana:v:9:y:1979:i:2:p:322-331
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    Cited by:

    1. Gupta, A.K. & Nguyen, T. & Pardo, L., 2006. "Preliminary Phi-divergence test estimator for multinomial probabilities," Computational Statistics & Data Analysis, Elsevier, vol. 50(7), pages 1749-1773, April.
    2. Ahmed, S. E. & Krzanowski, W. J., 2004. "Biased estimation in a simple multivariate regression model," Computational Statistics & Data Analysis, Elsevier, vol. 45(4), pages 689-696, May.
    3. Davy Paindaveine & Joséa Rasoafaraniaina & Thomas Verdebout, 2021. "Preliminary test estimation in uniformly locally asymptotically normal models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 689-707, June.

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