Robust estimation of common regression coefficients under spherical symmetry

@article{Kubokawa1991RobustEO,
  title={Robust estimation of common regression coefficients under spherical symmetry},
  author={Tatsuya Kubokawa and Christian P. Robert and A. K. Md. Ehsanes Saleh},
  journal={Annals of the Institute of Statistical Mathematics},
  year={1991},
  volume={43},
  pages={677-688}
}
Consider the problem of estimating the common regression coefficients of two linear regression models where the two distributions of the errors may be different and unknown. Under the spherical symmetry assumption, the paper proves the superiority of a Graybill-Deal type combined estimator and the further improvement by the Stein effect which were exhibited by Shinozaki (1978, Comm. Statist. Theory Methods, 7, 1421–1432) in the normal case. This shows the robustness of the dominations since the… CONTINUE READING