Shrinkage averaging estimation

DOI10.1007/s00362-011-0405-2zbMath1254.62082OpenAlexW2042998778WikidataQ57992303 ScholiaQ57992303MaRDI QIDQ1928360

Michael Schomaker

Publication date: 3 January 2013

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-011-0405-2

zbMATH Keywords

model selectionmodel averagingcross validationoptimal weight choicetuning parameter selection uncertainty

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Monte Carlo methods (65C05) Applications of mathematical programming (90C90)

Related Items (11)

Model selection and model averaging after multiple imputation ⋮ Optimal regression parameter-specific shrinkage by plug-in estimation ⋮ Bootstrapping some GLM and survival regression variable selection estimators ⋮ When and when not to use optimal model averaging ⋮ Unnamed Item ⋮ Applications of hyperellipsoidal prediction regions ⋮ Model averaging estimator in ridge regression and its large sample properties ⋮ Convergence and sparsity of Lasso and group Lasso in high-dimensional generalized linear models ⋮ Model averaging prediction for nonparametric varying-coefficient models with B-spline smoothing ⋮ Bootstrapping multiple linear regression after variable selection ⋮ The focused information criterion for varying-coefficient partially linear measurement error models

Uses Software

• R
• copula
• copula

Cites Work

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• Frequentist Model Average Estimators
• Model Selection and Multimodel Inference
• Regularization and Variable Selection Via the Elastic Net
• Least Squares Model Averaging
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Efficient Empirical Bayes Variable Selection and Estimation in Linear Models

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