MSE Performance and Minimax Regret Significance Points for a HPT Estimator when each Individual Regression Coefficient is Estimated

DOI10.1080/03610926.2011.605239zbMath1319.62143OpenAlexW2053439810MaRDI QIDQ2839075

Hai-Feng Xu

Publication date: 4 July 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.605239

zbMATH Keywords

minimax regret criterionfeasible ridge regression estimatorheterogeneous preliminary test estimatoroptimal critical points

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Related Items (4)

PMSE performance of two different types of preliminary test estimators under a multivariate t error term ⋮ A sufficient condition for the MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated in a misspecified linear regression model ⋮ MSE performance and minimax regret significance points for a HPT estimator under a multivariate t error distribution ⋮ MSE performance of the weighted average estimators consisting of shrinkage estimators when each individual regression coefficient is estimated

Cites Work

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• EXACT FINITE-SAMPLE PROPERTIES OF A PRE-TEST ESTIMATOR IN RIDGE REGRESSION
• Optimal Critical Values for Pre-Testing in Regression
• Minimax Regret Significance Points for a Preliminary Test in Regression Analysis

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