On the asymptotic distributional risk properties of pre-test and shrinkage \(L_ 1\)-estimators

DOI10.1016/0167-9473(87)90052-1zbMath0632.62066OpenAlexW1558519126MaRDI QIDQ1095537

Pranab Kumar Sen, A. K. Md. Ehsanes Saleh

Publication date: 1987

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(87)90052-1

zbMATH Keywords

robustnessshrinkage estimationlocal alternativespreliminary test estimationasymptotic distributional risksJames-Stein rulegeneral univariate linear modelL1 estimationrelative asymptotic risk- efficiency results

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

Least absolute value regression: recent contributions

Cites Work

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• On shrinkage m-estimators of location parameters
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• Analysis and Inference for Incompletely Specified Models Involving the Use of Preliminary Test(s) of Significance
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution
• On Biases in Estimation Due to the Use of Preliminary Tests of Significance

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