Accurate distributions of Mallows' \(\operatorname{C}_p\) and its unbiased modifications with applications to shrinkage estimation

DOI10.1016/j.jspi.2016.10.006zbMath1395.62225OpenAlexW2556356284MaRDI QIDQ511680

Haruhiko Ogasawara

Publication date: 22 February 2017

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2016.10.006

zbMATH Keywords

model selectionbiasmean square errormultivariate regressioninverse Wishart distributionnoncentral \(F\) distribution

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Diagnostics, and linear inference and regression (62J20)

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Accurate distributions of Mallows' \(\operatorname{C}_p\) and its unbiased modifications with applications to shrinkage estimation

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