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

bootstrapshrinkage estimatorsconfidence bands

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric tolerance and confidence regions (62G15) Nonparametric statistical resampling methods (62G09)

Related Items (6)

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

Uses Software

• bootstrap

Cites Work

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• On Bootstrap Iteration for Coverage Correction in Confidence Intervals
• Finite sample moments of a bootstrap estimator of the james-stein rule
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
• The bootstrap and Edgeworth expansion

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