Robustness of Stein-type estimators under a non-scalar error covariance structure

DOI10.1016/j.jmva.2009.03.010zbMath1175.62074OpenAlexW2055857388MaRDI QIDQ1036802

Alan T. K. Wan, Ti Chen, Xinyu Zhang, Guo Hua Zou

Publication date: 13 November 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.03.010

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items

A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted ⋮ Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances ⋮ On the sensitivity of pre-test estimators to covariance misspecification

Uses Software

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