Universal inadmissibility of least squares estimator

DOI10.1006/jmva.1999.1843zbMath0953.62009OpenAlexW2028094787MaRDI QIDQ1969722

Chang-Yu Lu, Ning-Zhong Shi

Publication date: 4 June 2000

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

Full work available at URL: https://doi.org/10.1006/jmva.1999.1843

zbMATH Keywords

stochastic dominationuniversal domination

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Admissibility in statistical decision theory (62C15)

Related Items (1)

Universal Domination and Stochastic Domination—an Improved lower Bound for the Dimensionality

Cites Work

• An optimal property of the Gauss-Markov estimator
• Universal domination and stochastic domination: Estimation simultaneously under a broad class of loss functions
• Concentration inequalities for Gauss-Markov estimators
• Universal domination and stochastic domination: U-admissibility and U- inadmissibility of the least squares estimator
• Optimality of the least squares estimator
• Minimax estimation of location parameters for spherically symmetric distributions with concave loss
• Confidence interval estimation subject to order restrictions
• Minimax confidence sets for the mean of a multivariate normal distribution
• On the Admissibility of Invariant Estimators of One or More Location Parameters
• Estimation of the Last Mean of a Monotone Sequence

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