The second-order expansion of the mean squared error matrix of the generalized least squares estimators for the regression parameters is obtained when the samples and ...

In this paper, we consider a linear regression model when relevant regressors are omitted. We derive the explicit formulae for the predictive mean squared errors ...

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...