On minimax shrinkage regression estimators

zbMATH Open0828.62057MaRDI QIDQ1901272FDOQ1901272

Tze-San Lee

Publication date: 19 December 1995

Published in: Metron (Search for Journal in Brave)

zbMATH Keywords

multicollinearityeigenvalueleast squares estimatormean squared prediction errorrisk functionmatrix conditionmean squared estimation errorminimax shrinkage regression estimatorsnumerical or statistical stabilityregression correlation matrixregression cross- product matrix

Mathematics Subject Classification ID

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

Cited In (3)

• On Minimax Estimation of Regression
• Minimax adaptive dimension reduction for regression
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