Double bootstrap for shrinkage estimators

DOI10.1016/0304-4076(94)01639-HzbMath0825.62592OpenAlexW2000733361MaRDI QIDQ1899234

H. D. Vinod

Publication date: 7 December 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01639-h

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Asymptotic confidence intervals in ridge regression based on the Edgeworth expansion, New shrinkage-type estimators in a linear regression model when multicollinearity is severe, A looser cointegration concept using fractional integration parameters and quantification of market responsiveness, Penalized Partial Likelihood Regression for Right-Censored Data with Bootstrap Selection of the Penalty Parameter, Computationally efficient double bootstrap variance estimation, Foundations of statistical inference based on numerical roots of robust pivot functions, Bootstrap confidence bands for shrinkage estimators, Foundations of multivariate inference using modern computers

Cites Work

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• Ridge regression:some simulations
• Ridge Regression: Applications to Nonorthogonal Problems
• Refining Bootstrap Simultaneous Confidence Sets