Risk performance of a pre-test ridge regression estimator under the LINEX loss function when each individual regression coefficient is estimated

DOI10.1080/00949650802605739zbMath1187.62127OpenAlexW2123614385MaRDI QIDQ3564756

Kazuhiro Ohtani, Akio Namba

Publication date: 26 May 2010

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650802605739

zbMATH Keywords

ridge regressionLINEX loss functionpre-test

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (3)

Finite sample properties of an HPT estimator when each individual regression coefficient is estimated in a misspecified linear regression model ⋮ MSE Performance and Minimax Regret Significance Points for a HPT Estimator when each Individual Regression Coefficient is Estimated ⋮ MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated

Cites Work

• Improving the estimation precision for a selected parameter in multiple regression analysis: An algebraic approach
• Generalized ridge regression estimators under the LINEX loss function
• Bayesian Estimation and Prediction Using Asymmetric Loss Functions
• On small sample properties of the almost unbiased generalized ridge estimator
• Finite Sample Properties of Ridge Estimators
• Optimal Critical Values for Pre-Testing in Regression
• A generalized ridge regression estimator and its finite sample properties
• Distribution and density functions of the feasible generalized ridge regression estimator
• Ridge regression in the context of a system of seemingly unrelated regression equations
• A note on new feasible generalized ridge regression estimator under the linex loss function
• A note on the moments of stochastic shrinkage parameters in ridge regression
• A note on almost unbiased generalized ridge regression estimator under asymmetric loss
• Ridge Regression: Biased Estimation for Nonorthogonal Problems

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