Improved estimation under collinearity and squared error loss

DOI10.1016/0047-259X(90)90088-YzbMath0689.62045MaRDI QIDQ581970

George G. Judge, R. Carter Hill

Publication date: 1990

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

linear regressioncollinearityStein rulesempirical Bayes estimatorsdeleting principal componentsgeneral linear statisial modelsquared error measureunbiased estimator of risk

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Monte Carlo methods (65C05) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (5)

Simultaneous selection and estimation for the some zeros family of normal models ⋮ Pre-Test type estimators for selection of simple normal models ⋮ Prior information in regression: to choose or not to choose? ⋮ Double \(k\)-class estimators in regression models with non-spherical disturbances ⋮ Shrinkage and modification techniques in estimation of variance and the related problems: A review

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