Minimum mean square error estimation in linear regression

DOI10.1016/0378-3758(93)90089-OzbMath0786.62068OpenAlexW1966524813MaRDI QIDQ1314492

Götz Trenkler, Erkki P. Liski, Helge Toutenbourg

Publication date: 26 April 1994

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(93)90089-o

zbMATH Keywords

optimal estimationprior informationgeneral linear modeldispersion matrix criteriongeneralization of optimal ridge estimatorslinear biased MMSE estimatorsminimum mean square error estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items

Mes performance of the minimum mean squared error estimators in a linear regression model when relevant regressors are omitted, Minimum mean squared error estimation of each individual coefficient in a linear regression model, An iterative feasible minimum mean squared error estimator of the disturbance variance in linear regression under asymmetric loss, Exact small sample properties of an operational variant of the minimum mean squared error estimator, MSE bounds for estimators of matrix functions, Minimum mean-squared error estimation in linear regression with an inequality constraint, On an adjustment of degrees of freedom in the minimim mean squared error ertimator, MSE performance of a heterogeneous pre-test estimator, An MSE comparison of the restricted Stein-rule and minimum mean squared error estimators in regression

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