SHRINKAGE EFFICIENCY BOUNDS

DOI10.1017/S0266466614000693zbMath1442.62740OpenAlexW2125517961MaRDI QIDQ3450349

Bruce E. Hansen

Publication date: 3 November 2015

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000693

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Minimax procedures in statistical decision theory (62C20) Admissibility in statistical decision theory (62C15)

Related Items (3)

Efficient shrinkage in parametric models ⋮ PMSE dominance of the positive-part shrinkage estimator in a regression model with proxy variables ⋮ Stein-like 2SLS estimator

Cites Work

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