On the Sampling Performance of an Improved Stein Inequality Restricted Estimator
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Publication:4248156
DOI10.1111/1467-842X.00020zbMath1127.62382OpenAlexW1963790431MaRDI QIDQ4248156
Kazuhiro Ohtani, Alan T. K. Wan
Publication date: 3 June 1999
Published in: Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-842x.00020
Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical decision theory (62C99) Admissibility in statistical decision theory (62C15)
Related Items (6)
A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted ⋮ Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances ⋮ Estimating the error variance after a pre-test for an interval restriction on the coefficients ⋮ Minimum mean-squared error estimation in linear regression with an inequality constraint ⋮ Robustness of Stein-type estimators under a non-scalar error covariance structure ⋮ Testing inequality constraints in a linear regression model with spherically symmetric disturbances
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