On the asymptotic distributional risk properties of pre-test and shrinkage \(L_ 1\)-estimators (Q1095537)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the asymptotic distributional risk properties of pre-test and shrinkage \(L_ 1\)-estimators |
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On the asymptotic distributional risk properties of pre-test and shrinkage \(L_ 1\)-estimators (English)
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1987
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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.
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James-Stein rule
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local alternatives
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preliminary test estimation
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robustness
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shrinkage estimation
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L1 estimation
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general univariate linear model
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asymptotic distributional risks
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relative asymptotic risk- efficiency results
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