Shrinking toward submodels in regression

DOI10.1016/0378-3758(94)90156-2zbMath0798.62077OpenAlexW2066877054MaRDI QIDQ1333134

Youngjo Lee, David S. Birkes

Publication date: 13 September 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(94)90156-2

zbMATH Keywords

shrinkage estimatorvariable selectionempirical Bayes estimationchoice of subspacechoice of shrinkage coefficientdata-adaptive selectiongeneralized ridge estimationnormal-equation approachordinary least- squares estimationsubspace- shrinkage estimationsubspace-ridge estimatorsubspace-Stein estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Empirical decision procedures; empirical Bayes procedures (62C12)

Cites Work

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• Shrinking Towards Subspaces in Multiple Linear Regression
• Improved Estimators for Coefficients in Linear Regression
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Some Comments on C P

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