Sequential shrinkage estimation in the general linear model

DOI10.1080/07474948808836148zbMath0649.62084OpenAlexW2041754242MaRDI QIDQ3795102

T. N. Sriram, Arup Bose

Publication date: 1988

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474948808836148

zbMATH Keywords

regression parametersleast squares estimatorgeneral linear modelJames-Stein estimatorsreverse submartingalessequential least squares estimatorestimation of the slope parametersecond order asymptotic risk expansionsequential James-Stein estimator

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Sequential estimation (62L12)

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Applications of Sequentially Estimating the Mean in a Normal Distribution Having Equal Mean and Variance, SEQUENTIAL FIXED-PRECISION ESTIMATION IN STOCHASTIC LINEAR REGRESSION MODELS, Regressor and disturbance have moments of all orders, least squares estimator has none, \(L_ p\) convergence of reciprocals of sample means with applications to sequential estimation in linear regression, Sequential estimation for dependent oberservations with an application to non-standard autoregressive processes, Sequential Generlized Least squares Estimator For An Autoressive parameter, Modified Linex two-stage and purely sequential estimation of the variance in a normal distribution with illustrations using horticultural data, AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.

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