The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances
研究了当扰动项服从Edgeworth或Gram-Charlier型非正态分布时，Stein规则估计量的精确分布和矩，通过结合Davis的非正态性方法和Phillips的分数微积分技术得到结果。
This paper derives the exact distribution and moments of the Stein-ruleestimator in a model where the disturbances follow a non-normal distribution of the Edgeworth or Gram-Charlier type. The results are achieved by combining the approach of Davis [4] for examining non-normality with the fractional calculus techniques of Phillips [11].