On assessing the precision of Stein's estimator

DOI10.1016/0165-1765(85)90169-7zbMath1273.62174OpenAlexW2068580454MaRDI QIDQ375106

Xie Wen Chi, George G. Judge

Publication date: 24 October 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(85)90169-7

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (7)

Finite sample moments of a bootstrap estimator of the james-stein rule ⋮ Improved estimators in some linear errors-in-variables models in finite samples ⋮ A distribution function of the F-ratio when the Stein-rule estimator is used in place of the OLS estimator ⋮ The inadmissibility of the 2SLS estimator in linear structural equations ⋮ MSE performance of the weighted average estimators consisting of shrinkage estimators ⋮ Small sample performance of jackknife confidence intervals for the james-stein estimator ⋮ The relative performances of improved ridge estimators and an empirical bayes estimator: some monte carlo results

Cites Work

• Bootstrap methods: another look at the jackknife
• Inadmissibility of maximum likelihood estimators in some multiple regression problems with three or more independent variables
• Parametric Empirical Bayes Inference: Theory and Applications
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
• On the Admissibility of Invariant Estimators of One or More Location Parameters
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