Data-Based Adaptive Estimation in an Investment Model

DOI10.1080/03610926.2011.581177zbMath1277.62247OpenAlexW2106376851MaRDI QIDQ2890086

Shabnam Chitsaz, S. Ejaz Ahmed

Publication date: 8 June 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.581177

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (1)

An Improved Estimation in Regression Parameter Matrix in Multivariate Regression Model

Cites Work

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• High order approximation for the coverage probability by a confident set centered at the positive-part James-Stein estimator
• Biased estimation in a simple multivariate regression model
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• Bootstrap confidence bands for shrinkage estimators
• Unbiased estimation of the MSE matrices of improved estimators in linear regression
• Improved Estimation of Coefficient Vector in a Regression Model
• Theory of Preliminary Test and Stein‐Type Estimation With Applications

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