A class of Stein-rules in multivariate regression model with structural changes

DOI10.1111/sjos.12166zbMath1364.62171OpenAlexW1856971276MaRDI QIDQ2791830

Fuqi Chen, Sévérien Nkurunziza

Publication date: 16 March 2016

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12166

zbMATH Keywords

shrinkage estimatorsmultivariate regressionrestricted estimatorchange-pointsADRunrestricted estimatormixingale array

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (6)

The risk of tensor Stein-rules in elliptically contoured distributions ⋮ Shrinkage estimator of regression model under asymmetric loss ⋮ Improved estimation in tensor regression with multiple change-points ⋮ Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points ⋮ On efficiency of some restricted estimators in a multivariate regression model ⋮ Non-penalty shrinkage estimation of random effect models for longitudinal data with AR(1) errors

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