Shrinkage averaging estimation

DOI10.1007/s00362-011-0405-2zbMath1254.62082OpenAlexW2042998778WikidataQ57992303 ScholiaQ57992303MaRDI QIDQ1928360

Michael Schomaker

Publication date: 3 January 2013

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-011-0405-2

zbMATH Keywords

model selectionmodel averagingcross validationoptimal weight choicetuning parameter selection uncertainty

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Monte Carlo methods (65C05) Applications of mathematical programming (90C90)

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Uses Software

• R
• copula
• copula

Cites Work

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• Regularization and Variable Selection Via the Elastic Net
• Least Squares Model Averaging
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Efficient Empirical Bayes Variable Selection and Estimation in Linear Models

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