Improved Stein-rule estimator for regression problems

DOI10.1016/0304-4076(80)90002-0zbMath0431.62040OpenAlexW1965903152MaRDI QIDQ5904330

H. D. Vinod

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1016/0304-4076(80)90002-0

zbMATH Keywords

general linear regression modelimproved Stein-rule estimator

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Related Items (9)

ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION ⋮ Large sample asymptotic properties of the double k-class estimators in linear regression models ⋮ Correction to: Improved Stein-rule estimator for regression problems ⋮ Improved Stein-rule estimator for regression problems ⋮ Double \(k\)-class estimators in regression models with non-spherical disturbances ⋮ Stein estimation -- a review ⋮ Pre-test double \(k\)-class estimators in linear regression ⋮ Stein rule prediction of the composite target function in a general linear regression model ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Ridge regression:some simulations
• A simulation study of ridge and other regression estimators
• Double k-Class Estimators of Coefficients in Linear Regression
• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
• Estimating the Mean of a Multivariate Normal Population with General Quadratic Loss Function
• Improved Estimators for Coefficients in Linear Regression
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Ridge Regression: Applications to Nonorthogonal Problems

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