PMSE dominance of the positive-part shrinkage estimator in a regression model when relevant regressors are omitted.

DOI10.1016/S0167-7152(03)00103-2zbMath1116.62369MaRDI QIDQ1423165

Akio Namba

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

DominancePositive-part estimatorPredictive mean squared error

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical decision theory (62C99)

Related Items (4)

PMSE performance of the Stein-rule and positive-part Stein-rule estimators in a regression model with or without proxy variables ⋮ A sufficient condition for the MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated in a misspecified linear regression model ⋮ PMSE dominance of the positive-part shrinkage estimator in a regression model with proxy variables ⋮ MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated

Cites Work

• Dominance of the positive-part version of the James-Stein estimator
• Double k-Class Estimators of Coefficients in Linear Regression
• Mes performance of the minimum mean squared error estimators in a linear regression model when relevant regressors are omitted
• PMSE PERFORMANCE OF THE BIASED ESTIMATORS IN A LINEAR REGRESSION MODEL WHEN RELEVANT REGRESSORS ARE OMITTED
• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
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