A Note on Prediction Error with Collinearity

DOI10.1081/STA-200052114MaRDI QIDQ4678839zbMATH OpenOpenAlexFDO

Authors Wenjiang J. Fu

Publication date 23 May 2005

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sta-200052114

zbMATH Keywords

collinearityleast-squares estimatorprediction error

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

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• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(1)

• Improved estimation under collinearity and squared error loss

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