SURE estimates under dependence and heteroscedasticity

DOI10.1016/j.jmva.2017.07.001zbMath1391.62090OpenAlexW2738518535MaRDI QIDQ2404405

Peng Zhao, Wang Zhou, Zhi Liu, Xin-Bing Kong

Publication date: 18 September 2017

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2017.07.001

zbMATH Keywords

heteroscedasticityshrinkage estimatorStein's unbiased risk estimationSURE

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15)

Related Items

Efficient empirical Bayes estimates for risk parameters of Pareto distributions, An Empirical Bayes Approach to Shrinkage Estimation on the Manifold of Symmetric Positive-Definite Matrices

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