MSE Performance and Minimax Regret Significance Points for a HPT Estimator when each Individual Regression Coefficient is Estimated
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Publication:2839075
DOI10.1080/03610926.2011.605239zbMath1319.62143MaRDI QIDQ2839075
Publication date: 4 July 2013
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2011.605239
minimax regret criterion; feasible ridge regression estimator; heterogeneous preliminary test estimator; optimal critical points
62J07: Ridge regression; shrinkage estimators (Lasso)
62J05: Linear regression; mixed models
62H15: Hypothesis testing in multivariate analysis
Related Items
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, MSE performance and minimax regret significance points for a HPT estimator under a multivariate t error distribution, PMSE performance of two different types of preliminary test estimators under a multivariate t error term, MSE performance of the weighted average estimators consisting of shrinkage estimators when each individual regression coefficient is estimated
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