Optimal significance levels of prior tests in the presence of multicollinearity

DOI10.1080/03610928108828122zbMath0471.62069OpenAlexW2071554189MaRDI QIDQ3925017

Richard J. Brook, R. H. Fletcher

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1080/03610928108828122

zbMATH Keywords

quadratic riskcritical valueregret functionnon-orthogonal

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Statistical decision theory (62C99)

Related Items (1)

Preliminary-test estimation in a dynamic linear model

Cites Work

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• Optimal Critical Values for Pre-Testing in Regression

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