The performance of serial correlation preliminary test estimators under asymmetry loss functions

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dc.contributor.author Nakale, S.
dc.contributor.author Kleyn, Judy
dc.contributor.author Arashi, Mohammad
dc.contributor.author Bekker, Andriette, 1958-
dc.date.accessioned 2015-07-01T06:23:25Z
dc.date.available 2015-07-01T06:23:25Z
dc.date.issued 2015-03
dc.description.abstract The risk performances, under the symmetric squared error loss function, of the estimators of the regression coefficients after a preliminary test for serial correlation have been widely investigated in the literature. However, it is well known that the use of the symmetric loss functions is inappropriate in estimation problems where underestimation and overestimation have different consequences. We consider the Linear Exponential and Bounded Linear Exponential loss functions which allows for asymmetry. The risks of the estimators are derived and numerically evaluated by using simulations. en_ZA
dc.description.librarian am2015 en_ZA
dc.description.sponsorship The National Research Foundation of South Africa for the grant TTK1206151317. en_ZA
dc.description.uri http://www.sastat.org.za/journal/information en_ZA
dc.description.uri http://reference.sabinet.co.za/sa_epublication/sasj en_ZA
dc.identifier.citation Nakale, SN, Kleyn J, Arashi, M & Bekker, A 2015, 'The performance of serial correlation preliminary test estimators under asymmetry loss functions', South African Statistical Journal, vol. 49, no. 1, pp. 121-138. en_ZA
dc.identifier.issn 0038-271X
dc.identifier.uri http://hdl.handle.net/2263/45836
dc.language.iso en en_ZA
dc.publisher South African Statistical Association en_ZA
dc.rights South African Statistical Association en_ZA
dc.subject Serial correlation en_ZA
dc.subject Preliminary test estimation en_ZA
dc.subject LINEX loss en_ZA
dc.subject BLINEX loss en_ZA
dc.subject Risk function en_ZA
dc.title The performance of serial correlation preliminary test estimators under asymmetry loss functions en_ZA
dc.type Article en_ZA


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