On the asymptotic distributional risk properties of pre-test and shrinkage \(L_ 1\)-estimators (Q1095537): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/0167-9473(87)90052-1 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1558519126 / rank | |||
Normal rank | |||
Revision as of 22:41, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the asymptotic distributional risk properties of pre-test and shrinkage \(L_ 1\)-estimators |
scientific article |
Statements
On the asymptotic distributional risk properties of pre-test and shrinkage \(L_ 1\)-estimators (English)
0 references
1987
0 references
In a general univariate linear model, \(L_ 1\)-estimation of a subset of parameters is considered when the complementary subset is suspected to be redundant. Along with the \(L_ 1\)-estimation of all the parameters, both preliminary test and shrinkage \(L_ 1\)-estimators based on the usual \(L_ 1\)-estimators are considered. In the light of their asymptotic distributional risks, the relative asymptotic risk-efficiency results are studied in detail. Though the shrinkage \(L_ 1\)-estimator may dominate the usual \(L_ 1\)-estimator, it does not, in general, dominate the preliminary test \(L_ 1\)- estimator.
0 references
James-Stein rule
0 references
local alternatives
0 references
preliminary test estimation
0 references
robustness
0 references
shrinkage estimation
0 references
L1 estimation
0 references
general univariate linear model
0 references
asymptotic distributional risks
0 references
relative asymptotic risk- efficiency results
0 references
