On minimax shrinkage regression estimators

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zbMath0828.62057MaRDI QIDQ1901272

Tze-San Lee

Publication date: 19 December 1995

Published in: Metron (Search for Journal in Brave)

zbMATH Keywords

eigenvalue least squares estimator multicollinearity mean squared prediction error risk function matrix condition mean squared estimation error minimax shrinkage regression estimators numerical or statistical stability regression correlation matrix regression cross- product matrix

Mathematics Subject Classification ID

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

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