Bootstrap confidence bands for shrinkage estimators

DOI10.1016/S0304-4076(98)00037-2zbMath0937.62045WikidataQ126772841 ScholiaQ126772841MaRDI QIDQ1305664

David Brownstone, Camilla Kazimi

Publication date: 22 September 1999

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

zbMATH Keywords

bootstrap; shrinkage estimators; confidence bands

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J07: Ridge regression; shrinkage estimators (Lasso)

62G15: Nonparametric tolerance and confidence regions

62G09: Nonparametric statistical resampling methods

Related Items

SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS, Confidence sets based on the positive part James–Stein estimator with the asymptotically constant coverage probability, An application of shrinkage estimation to the nonlinear regression model, Shrinkage estimation strategy in quasi-likelihood models, Data-Based Adaptive Estimation in an Investment Model, Shrinkage confidence intervals for the normal mean: Using a guess for greater efficiency

Uses Software

• bootstrap

Cites Work

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