The risk of the family of feasible generalized double k-class estimators under LINEX loss function is derived in a linear regression model. The disturbances are assumed to be non-spherical and their variance covariance matrix is unknown.

This paper presents a general loss function under quadratic loss structure and discusses the comparison of risk functions associated with the unbiased least squares and biased Stein-rule estimators of the coefficients in a linear regression model.