The extended Stein procedure for simultaneous model selection and parameter estimation
type: Item
instance of: scholarly article
title: The extended Stein procedure for simultaneous model selection and parameter estimation
zbMATH Open document ID: 0617.62053
DOI: 10.1016/0304-4076(87)90034-0
author: Gang Yi
author: Timo Teräsvirta
author: George G. Judge
author: T. A. Yancey
published in: Journal of Econometrics
publication date: 1987-01-01T00:00:00Z
review text: A parameter truncation criterion, developed in conjunction with \textit{C. Stein}'s partitioned analog [Ann. Stat. 9, 1135-1151 (1981; Zbl 0476.62035)] of the \textit{B. Efron} and \textit{C. Morris} limited translation estimator [J. Am. Stat. Assoc. 67, 130-139 (1972; Zbl 0231.62013)], is used in an orthonormal linear statistical model setting as a basis for simultaneously selecting the relevant variables and estimating the unknown parameters. Using a squared error loss measure and making use of prior information concerning the coefficients of extraneous variables, the sampling performance of the extended Stein procedure (ESP) is analyzed for two alternative structures of the parameter space and under normal and non-normal errors.
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62J07
Mathematics Subject Classification ID: 62C15
Mathematics Subject Classification ID: 62C99
Mathematics Subject Classification ID: 62H99
zbMATH DE Number: 4001220
zbMATH Keywords: model selection
zbMATH Keywords: parameter estimation
zbMATH Keywords: Stein estimator
zbMATH Keywords: Monte Carlo sampling experiments
zbMATH Keywords: parameter truncation criterion
zbMATH Keywords: limited translation estimator
zbMATH Keywords: orthonormal linear statistical model
zbMATH Keywords: squared error loss
zbMATH Keywords: prior information
zbMATH Keywords: sampling performance
zbMATH Keywords: extended Stein procedure
zbMATH Keywords: ESP
zbMATH Keywords: non-normal errors
MaRDI profile type: Publication
full work available at URL: 0304-4076(87)90034-0
OpenAlex ID: W2083494484
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description: scientific article; zbMATH DE number 4001220