A brief review of shrinkage estimation of a multivariate normal mean with extension to multiple linear regression

zbMATH Open1141.62326MaRDI QIDQ3514545FDOQ3514545

Authors: Jyh-Jiuan Lin, Ching-Hui Chang, Nabendu Pal 

Publication date: 21 July 2008

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zbMATH Keywords

loss functionrisk functionprediction mean squared error (PMSE)

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Admissibility in statistical decision theory (62C15)

Cited In (4)

• Title not available (Why is that?)
• Shrinkage estimators for the intercept in linear and uplift regression
• Shrinkage estimation of the regression parameters with multivariate normal errors
• Shrinkage estimation for the regression parameter matrix in multivariate regression model

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