ADAPTIVE ESTIMATORS OF A MEAN MATRIX: TOTAL LEAST SQUARES VERSUS TOTAL SHRINKAGE

DOI10.1017/S0266466608080183zbMath1284.62414MaRDI QIDQ3632385

Rudolf Beran

Publication date: 11 June 2009

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

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (2)

Estimating a mean matrix: boosting efficiency by multiple affine shrinkage ⋮ Level choice in truncated total least squares

Cites Work

• An Analysis of the Total Least Squares Problem
• Estimation in a multivariate errors in variables regression model: Large sample results
• Multivariate empirical Bayes and estimation of covariance matrices
• A Note on the Weak Convergence of Stochastic Processes

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