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

MaRDI QIDQ3514545zbMATH OpenFDO

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

Publication date 21 July 2008

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)

Recommendations

• Shrinkage estimation for the regression parameter matrix in multivariate regression model
• Bayes and empirical Bayes shrinkage estimation of regression coefficients
• scientific article; zbMATH DE number 4162031
• Shrinkage estimation of the regression parameters with multivariate normal errors
• scientific article; zbMATH DE number 3844851

Cited in

(4)

• scientific article; zbMATH DE number 3982298 (Why is no real title available?)
• 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

This page was built for publication: A brief review of shrinkage estimation of a multivariate normal mean with extension to multiple linear regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3514545)