In this paper, we obtain the generalized least square, restricted generalized least square and shrinkage estimators for the regression vector parameter assuming that the errors have multivariate t distribution. Also we calculate their quadratic risks and propose the dominance order of the underlying estimators.
Arashi M, Tabatabaei M M. Comparing Risks of Estimators in Multiple Regression Model with Multivariate t Errors. JSS 2008; 1 (2) :95-108 URL: http://jss.irstat.ir/article-1-6-en.html
