A generalized class of shrinkage estimators in linear regression when disturbances are not normal

Abstract

A generalized class of shrinkage estimators in linear regression is proposed the risk associated with the class is derived under a general quadratic loss function when the disturbances are not normal and a comparative study with some new estimators from the class has been provided with the existing ones.

Keywords:

• Linear regression model
• small-α asymptotic
• class of estimators
• efficient estimators
• risk