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Covariance matrix estimation in a seemingly unrelated regression model under Stein’s loss

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  • Shun Matsuura

    (Keio University)

  • Hiroshi Kurata

    (The University of Tokyo)

Abstract

A seemingly unrelated regression model has been commonly used for describing a set of different regression models with correlations. This paper discusses the estimation of the covariance matrix in a seemingly unrelated regression model under Stein’s loss function. In particular, when the correlation matrix is assumed to be known, a best equivariant estimator of the covariance matrix is derived. Its properties are investigated and a connection to a best equivariant estimator of regression coefficients given in a previous study is shown. Results of numerical simulations and an illustrative example are also presented to compare the best equivariant estimator of the covariance matrix with several conventional covariance matrix estimators.

Suggested Citation

  • Shun Matsuura & Hiroshi Kurata, 2020. "Covariance matrix estimation in a seemingly unrelated regression model under Stein’s loss," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(1), pages 79-99, March.
    • Handle: RePEc:spr:stmapp:v:29:y:2020:i:1:d:10.1007_s10260-019-00473-x
    DOI: 10.1007/s10260-019-00473-x
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    References listed on IDEAS

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    Cited by:

    1. Shun Matsuura & Hiroshi Kurata, 2022. "Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression," Statistical Papers, Springer, vol. 63(1), pages 123-141, February.

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