Article ID: | iaor2016651 |
Volume: | 43 |
Issue: | 1 |
Start Page Number: | 83 |
End Page Number: | 102 |
Publication Date: | Mar 2016 |
Journal: | Scandinavian Journal of Statistics |
Authors: | Nkurunziza Svrien, Chen Fuqi |
Keywords: | statistics: regression, simulation, matrices |
In this paper, we consider an estimation problem of the matrix of the regression coefficients in multivariate regression models with unknown change‐points. More precisely, we consider the case where the target parameter satisfies an uncertain linear restriction. Under general conditions, we propose a class of estimators that includes as special cases shrinkage estimators (SEs) and both the unrestricted and restricted estimator. We also derive a more general condition for the SEs to dominate the unrestricted estimator. To this end, we extend some results underlying the multidimensional version of the mixingale central limit theorem as well as some important identities for deriving the risk function of SEs. Finally, we present some simulation studies that corroborate the theoretical findings.