Model averaging based on James-Stein estimators

DOI10.1007/S00184-014-0483-YzbMATH Open1305.62136OpenAlexW2104523145MaRDI QIDQ479501FDOQ479501

Authors: Shangwei Zhao 

Publication date: 5 December 2014

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-014-0483-y

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zbMATH Keywords

model averagingJames-Stein estimatorasymptotic optimalityweight choice

Mathematics Subject Classification ID

Parametric inference (62F99) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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• Adaptively combined forecasting for discrete response time series

Cited In (3)

• James-Stein estimators for time series regression models
• Model averaging with high-dimensional dependent data
• Least squares model averaging based on generalized cross validation

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