PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS

DOI10.1017/S0266466606060038zbMath1083.62060OpenAlexW3125758485MaRDI QIDQ3377436

Benedikt M. Pötscher, Hannes Leeb

Publication date: 22 March 2006

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466606060038

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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