James-Stein-Type Estimators in Large Samples With Application to the Least Absolute Deviations Estimator

DOI10.1198/016214501753168352zbMath1017.62059OpenAlexW3023862581MaRDI QIDQ4419454

Halbert White, Tae-Hwan Kim

Publication date: 13 August 2003

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://escholarship.org/uc/item/4zq9k3qh

zbMATH Keywords

shrinkageasymptotic riskcombination estimator

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (10)

Combining estimators to improve structural model estimation and inference under quadratic loss ⋮ A James-Stein-type adjustment to bias correction in fixed effects panel models ⋮ On weighted estimation in linear regression in the presence of parameter uncertainty ⋮ Focused information criterion and model averaging for generalized additive partial linear models ⋮ Frequentist model averaging estimation: a review ⋮ Shrinkage estimation in general linear models ⋮ Estimation of regression coefficients of interest when other regression coefficients are of no interest: the case of non-normal errors ⋮ Shrinkage estimation of panel data models with interactive effects ⋮ Robustness of Stein-type estimators under a non-scalar error covariance structure ⋮ Stein-like 2SLS estimator

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