An MSE comparison of the restricted Stein-rule and minimum mean squared error estimators in regression

DOI10.1007/BF02565118zbMath0935.62080MaRDI QIDQ1305258

Kazuhiro Ohtani

Publication date: 8 May 2000

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

mean squared errorStein-rule estimatorslinear restrictionsrestricted estimatorminimum mean squared error estimators

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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Cites Work

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• Stein estimation for non-normal spherically symmetric location families in three dimensions
• Minimum mean square error estimation in linear regression
• A feasible minimum risk estimator interpretation to Stein-rule estimators in linear regression model
• Shrinkage estimators under spherical symmetry for the general linear model
• Predictive efficiency of improved estimators in restricted regression models
• The Minimum Mean Square Error Linear Estimator and Ridge Regression
• Simulation and Extension of a Minimum Mean Squared Error Estimator in Comparison with Stein's
• On the minimum mean squared error estimators in a regression model
• Exact small sample properties of an operational variant of the minimum mean squared error estimator
• Comparison of operational variants of Best homogeneous and heterogeneous estimators in linear regression

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