On Preliminary Test and Shrinkage $M$-Estimation in Linear Models
On Preliminary Test and Shrinkage $M$-Estimation in Linear Models
In a general univariate linear model, $M$-estimation of a subset of parameters is considered when the complementary subset is plausibly redundant. Along with the classical versions, both the preliminary test and shrinkage versions of the usual $M$-estimators are considered and, in the light of their asymptotic distributional risks, the relative …