MSE Performance and Minimax Regret Significance Points for a HPT Estimator when each Individual Regression Coefficient is Estimated

DOI10.1080/03610926.2011.605239zbMath1319.62143MaRDI QIDQ2839075

Hai-Feng Xu

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

zbMATH Keywords

minimax regret criterion; feasible ridge regression estimator; heterogeneous preliminary test estimator; optimal critical points

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test
• Improving the estimation precision for a selected parameter in multiple regression analysis: An algebraic approach
• Minimum mean squared error estimation of each individual coefficient in a linear regression model
• The exact general fomulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators.
• Risk performance of a pre-test ridge regression estimator under the LINEX loss function when each individual regression coefficient is estimated
• EXACT FINITE-SAMPLE PROPERTIES OF A PRE-TEST ESTIMATOR IN RIDGE REGRESSION
• Optimal Critical Values for Pre-Testing in Regression
• Minimax Regret Significance Points for a Preliminary Test in Regression Analysis