On the degrees of freedom in shrinkage estimation

DOI10.1016/j.jmva.2008.12.002zbMath1162.62067OpenAlexW2041635444MaRDI QIDQ1021833

Kengo Kato

Publication date: 9 June 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.12.002

zbMATH Keywords

second fundamental formshrinkage estimationAICgroup LassoLassodegrees of freedomStein's lemmaMallows' \(C_p\)fused Lassotubal coordinates

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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