Shrinkage averaging estimation
DOI10.1007/S00362-011-0405-2zbMATH Open1254.62082OpenAlexW2042998778WikidataQ57992303 ScholiaQ57992303MaRDI QIDQ1928360FDOQ1928360
Authors: Michael Schomaker 
Publication date: 3 January 2013
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-011-0405-2
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model selectioncross validationmodel averagingoptimal weight choicetuning parameter selection uncertainty
Monte Carlo methods (65C05) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of mathematical programming (90C90)
Cites Work
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Title not available (Why is that?)
- Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter
- Regularization and Variable Selection Via the Elastic Net
- Ridge Regression: Biased Estimation for Nonorthogonal Problems
- Shrinkage tuning parameter selection with a diverging number of parameters
- Title not available (Why is that?)
- Title not available (Why is that?)
- Random lasso
- Model Selection: An Integral Part of Inference
- Model Selection and Multimodel Inference
- Efficient Empirical Bayes Variable Selection and Estimation in Linear Models
- Optimal weight choice for frequentist model average estimators
- Frequentist Model Average Estimators
- Focused Information Criteria and Model Averaging for the Cox Hazard Regression Model
- Frequentist model averaging with missing observations
- A comparison of two model averaging techniques with an application to growth empirics
- Least squares model averaging by Mallows criterion
- Least Squares Model Averaging
- Jackknife model averaging
- Period Analysis of Variable Stars by Robust Smoothing
- Frequentist model averaging estimation: a review
- Variable inclusion and shrinkage algorithms
- On properties of predictors derived with a two-step bootstrap model averaging approach -- a simulation study in the linear regression model
Cited In (13)
- The focused information criterion for varying-coefficient partially linear measurement error models
- Title not available (Why is that?)
- Model selection and model averaging after multiple imputation
- A Mallows-type model averaging estimator for ridge regression with randomly right censored data
- Model averaging estimator in ridge regression and its large sample properties
- Asymptotics of the adaptive elastic net estimation for conditional heteroscedastic time series models
- Applications of hyperellipsoidal prediction regions
- Bootstrapping some GLM and survival regression variable selection estimators
- Convergence and sparsity of Lasso and group Lasso in high-dimensional generalized linear models
- Model averaging prediction for nonparametric varying-coefficient models with B-spline smoothing
- Bootstrapping multiple linear regression after variable selection
- When and when not to use optimal model averaging
- Optimal regression parameter-specific shrinkage by plug-in estimation
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