Performances of the Positive-Rule Stein-Type Ridge Estimator in a Linear Regression Model with Spherically Symmetric Error Distributions

DOI10.1080/03610926.2011.579378zbMath1298.62121OpenAlexW2055446254MaRDI QIDQ5299094

Jianwen Xu, Hu Yang

Publication date: 25 June 2013

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

Full work available at URL: https://doi.org/10.1080/03610926.2011.579378

zbMATH Keywords

quadratic riskpreliminary testStein-type estimatorridge estimatormultivariate Student' \(t\) distribution

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Parametric hypothesis testing (62F03)

Related Items (1)

Diagnostics in elliptical regression models with stochastic restrictions applied to econometrics

Cites Work

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• Stein-type improvement under stochastic constraints: use of multivariate Student-\(t\) model in regression
• Preliminary test ridge regression estimators with Student's \(t\) errors and conflicting test-statis\-tics
• Biased estimation in a simple multivariate regression model
• Shrinkage estimation in general linear models
• Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
• On preliminary test ridge regression estimators for linear restrictions in a regression model with non-normal disturbances
• Improved nonparametric estimation of location vectors in multivariate regression models
• A new estimator combining the ridge regression and the restricted least squares methods of estimation
• Relative performance of stein-rule and preliminary test estimators in linear models least squares theory
• Theory of Preliminary Test and Stein‐Type Estimation With Applications

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