Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors

DOI10.1108/S0731-9053(2012)0000030011zbMath1452.62645OpenAlexW1530355963MaRDI QIDQ5133604

Eric Hillebrand, Tae-Hwy Lee

Publication date: 10 November 2020

Published in: Advances in Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-9053(2012)0000030011

zbMATH Keywords

riskprincipal componentsshrinkageStein-ruleordinary least squares (OLS) estimatorvariance-bias tradeoff

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

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