The exact general fomulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators.

DOI10.1016/0304-4076(95)01747-XzbMATH Open1127.62381OpenAlexW2085497373MaRDI QIDQ2565041FDOQ2565041

Authors: Kazuhiro Ohtani, Hideo Kozumi 

Publication date: 7 January 1997

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

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01747-x

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Estimation with quadratic loss.
• Limiting the Risk of Bayes and Empirical Bayes Estimators--Part II: The Empirical Bayes Case
• On the sampling distribution of improved estimators for coefficients in linear regression
• A Monte Carlo comparison of traditional and Stein-rule estimators under squared error loss
• The approximate distribution function of the Stein-rule estimator
• The exact distribution of the Stein-rule estimator
• Precision of individual estimators in simultaneous estimation of parameters
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (7)

• Stein estimation -- a review
• On the use of the Stein variance estimator in the double \(k\) -class estimator when each individual regression coefficient is estimated
• MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated
• Minimum mean squared error estimation of each individual coefficient in a linear regression model
• MSE performance and minimax regret significance points for a HPT estimator when each individual regression coefficient is estimated
• A sufficient condition for the MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated in a misspecified linear regression model
• Inadmissibility of the Stein-rule estimator under the balanced loss function

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