STEIN-RULE RESTRICTED REGRESSION ESTIMATOR IN A LINEAR REGRESSION MODEL WITH NONSPHERICAL DISTURBANCES

DOI10.1081/STA-100001558zbMath0991.62046MaRDI QIDQ4541768

Alan T. K. Wan, Shri Prakash Singh, Anoop Chaturvedi

Publication date: 28 July 2002

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

zbMATH Keywords

generalized inverselarge sample asymptoticsquadratic loss

Mathematics Subject Classification ID

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

Related Items (6)

Feasible generalized Stein-rule restricted ridge regression estimators ⋮ APPLIED REGRESSION ANALYSIS BIBLIOGRAPHY UPDATE 2000–2001 ⋮ Risk performance of some shrinkage estimators ⋮ A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted ⋮ Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances ⋮ The feasible generalized restricted ridge regression estimator

Uses Software

• SHAZAM

Cites Work

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• Quadratic risk domination of restricted least squares estimators via Stein-ruled auxiliary constraints
• Operational variants of the minimum mean squared error estimator in linear regression models with non-spherical disturbances
• On the admissibility of restricted least squares estimators
• Linear Statistical Inference and its Applications

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