The extended Stein procedure for simultaneous model selection and parameter estimation

DOI10.1016/0304-4076(87)90034-0zbMath0617.62053OpenAlexW2083494484MaRDI QIDQ1822168

Timo Teräsvirta, Gang Yi, Thomas A. Yancey, George G. Judge

Publication date: 1987

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(87)90034-0

zbMATH Keywords

parameter estimationmodel selectionsquared error lossprior informationStein estimatornon-normal errorsESPextended Stein procedurelimited translation estimatorMonte Carlo sampling experimentsorthonormal linear statistical modelparameter truncation criterionsampling performance

Mathematics Subject Classification ID

Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical decision theory (62C99) Admissibility in statistical decision theory (62C15)

Related Items (5)

Small sample properties of ridge estimators with normal and non-normal disturbances ⋮ Simultaneous selection and estimation for the some zeros family of normal models ⋮ Pre-Test type estimators for selection of simple normal models ⋮ A simultaneous estimation and variable selection rule ⋮ Improved estimation under collinearity and squared error loss

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• Some Comments on C P

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