The Risk of James–Stein and Lasso Shrinkage

DOI10.1080/07474938.2015.1092799zbMath1491.62067OpenAlexW2185143399MaRDI QIDQ5864507

Bruce E. Hansen

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2015.1092799

zbMATH Keywords

least squaresshrinkageLassoJames-Stein

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (12)

Optimal regression parameter-specific shrinkage by plug-in estimation ⋮ Double shrunken selection operator ⋮ On Minimaxity and Limit of Risks Ratio of James-Stein Estimator Under the Balanced Loss Function ⋮ Unnamed Item ⋮ A Bayesian approach with generalized ridge estimation for high-dimensional regression and testing ⋮ On the mean squared error of the ridge estimator of the covariance and precision matrix ⋮ Shrinkage for categorical regressors ⋮ PMSE dominance of the positive-part shrinkage estimator in a regression model with proxy variables ⋮ Non-penalty shrinkage estimation of random effect models for longitudinal data with AR(1) errors ⋮ A comment on Hansen's risk of James-Stein and Lasso shrinkage ⋮ On asymptotic risk of selecting models for possibly nonstationary time-series ⋮ Model Selection and Shrinkage: An Overview

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