Risk comparison of some shrinkage M-estimators in linear models

DOI10.1080/10485250601046752zbMath1106.62071OpenAlexW1971333466MaRDI QIDQ3426259

Abdulkadir Hussein, Pranab Kumar Sen, S. Ejaz Ahmed

Publication date: 8 March 2007

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

Full work available at URL: https://doi.org/10.1080/10485250601046752

zbMATH Keywords

local alternativesMonte-Carlo simulationspretest estimatorsStein-type estimatorsasymptotic distributional bias and riskscale-equivariant M-estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (18)

Efficient estimation method for generalized ARFIMA models ⋮ Generalized autoregressive moving average models: an efficient estimation approach ⋮ Improved robust ridge M-estimation ⋮ Pretest and shrinkage estimation of the regression parameter vector of the marginal model with multinomial responses ⋮ Shrinkage strategy in stratified random sample subject to measurement error ⋮ Improved preliminary test and Stein-rule Liu estimators for the ill-conditioned elliptical linear regression model ⋮ Simple regression in view of elliptical models ⋮ Shrinkage estimation for the mean of the inverse Gaussian population ⋮ Shrinkage, pretest, and penalty estimators in generalized linear models ⋮ Shrinkage estimation for the regression parameter matrix in multivariate regression model ⋮ M-tests for multivariate regression model ⋮ Stein-type estimation using ranked set sampling ⋮ Shrinkage estimation in linear mixed models for longitudinal data ⋮ Shrinkage and Penalty Estimators of a Poisson Regression Model ⋮ Asymptotic theory of simultaneous estimation of Poisson means ⋮ Efficient estimation for the conditional autoregressive model ⋮ Shrinkage and pretest estimators for longitudinal data analysis under partially linear models ⋮ Stein-rule estimation under an extended balanced loss function

Cites Work

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• On preliminary test and shrinkage M-estimation in linear models
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• Robust analysis of variance based upon a likelihood ratio criterion
• Two Robust Alternatives to Least-Squares Regression
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution

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