On improved loss estimation for shrinkage estimators

DOI10.1214/11-STS380zbMath1330.62287arXiv1203.4989OpenAlexW2001752782MaRDI QIDQ2634655

Martin T. Wells, Dominique Fourdrinier

Publication date: 18 February 2016

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.4989

zbMATH Keywords

robustnesslinear modelshrinkage estimationspherical symmetryquadratic lossconditional inferencerisk functionloss estimationSUREunbiased estimator of lossuniform distribution on a sphere

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) General considerations in statistical decision theory (62C05)

Related Items (11)

Unbiased risk estimates for matrix estimation in the elliptical case ⋮ A note on existence and construction of invariant loss functions ⋮ SURE estimates under dependence and heteroscedasticity ⋮ Data based loss estimation of the mean of a spherical distribution with a residual vector ⋮ Inadmissibility of the corrected Akaike information criterion ⋮ On the non existence of unbiased estimators of risk for spherically symmetric distributions ⋮ Improved loss estimation for a normal mean matrix ⋮ Prediction and calibration for multiple correlated variables ⋮ Admissibility results under some balanced loss functions for a functional regression model ⋮ Robust minimax Stein estimation under invariant data-based loss for spherically and elliptically symmetric distributions ⋮ Improved loss estimation for the lasso: a variable selection tool

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