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-XMaRDI QIDQ2565041zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 4076418 (Why is no real title available?)
• scientific article; zbMATH DE number 3441460 (Why is no real title available?)
• A Monte Carlo comparison of traditional and Stein-rule estimators under squared error loss
• 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
• Precision of individual estimators in simultaneous estimation of parameters
• The approximate distribution function of the Stein-rule estimator
• The exact distribution of the Stein-rule estimator

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
• Inadmissibility of the Stein-rule estimator under the balanced loss function
• 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

This page was built for publication: The exact general fomulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2565041)