The Efficiency of Shrinkage Estimators with Respect to Zellner's Balanced Loss Function

DOI10.1081/STA-120028372MaRDI QIDQ3155258zbMATH OpenFDO

Authors Marvin H. J. Gruber

Publication date 14 January 2005

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

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Empirical decision procedures; empirical Bayes procedures (62C12)

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Cites work

• scientific article; zbMATH DE number 1239310 (Why is no real title available?)
• An empirical Bayes approach to multiple linear regression
• Bayes estimators for linear models with less than full rank
• Estimation with quadratic loss.
• Linear Statistical Inference and its Applications
• On estimation with balanced loss functions
• Simultaneous Estimation of Parameters in Different Linear Models and Applications to Biometric Problems
• Simultaneous estimation of the multivariate normal mean under balanced loss function
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach

Cited in

(23)

• Generalized Liu Type Estimators Under Zellner's Balanced Loss Function
• Sequential estimation of a location parameter and powers of a scale parameter from delayed observations
• Linearly admissible estimators of stochastic regression coefficient under balanced loss function
• Admissible linear estimators of multivariate regression coefficient with respect to an inequality constraint under matrix balanced loss function
• All admissible linear estimators of a regression coefficient under a balanced loss function
• Estimation of the exponential mean time to failure under a weighted balanced loss function
• Minimax estimator of regression coefficient in normal distribution under balanced loss function
• Admissible linear estimators in the general Gauss-Markov model under generalized extended balanced loss function
• A note on Stein-type shrinkage estimator in partial linear models
• Linearly admissible estimators of mean vector with respect to balanced loss function in multivariate statistics
• Admissibility in general Gauss–Markov model with respect to an ellipsoidal constraint under weighted balanced loss
• Admissibility in general linear model with respect to an inequality constraint under balanced loss
• Admissibility of linear estimators of the common mean parameter in general linear models under a balanced loss function
• Admissibility of linear estimators for the stochastic regression coefficient in a general Gauss-Markoff model under a balanced loss function
• An Appreciation of Balanced Loss Functions Via Regret Loss
• \(\Phi\) admissibility of stochastic regression coefficients in a general multivariate random effects model under a generalized balanced loss function
• Matrix linear minimax estimators in a general multivariate linear model under a balanced loss function
• The optimal extended balanced loss function estimators
• Admissibility for linear estimators of regression coefficient in a general Gauss-Markoff model under balanced loss function
• On shrinkage estimation for balanced loss functions
• The best linear unbiased estimator in a singular linear regression model
• Stein-rule estimation under an extended balanced loss function
• Posterior analysis of the compound Rayleigh distribution under balanced loss functions for censored data

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