Model averaging based on James-Stein estimators

DOI10.1007/S00184-014-0483-YMaRDI QIDQ479501zbMATHOpenAlexFDO

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

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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Cites work

• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
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• Least squares model averaging by Mallows criterion
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• Model Selection: An Integral Part of Inference
• Model averaging by jackknife criterion in models with dependent data
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• Optimal weight choice for frequentist model average estimators
• Some Comments on C P
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Cited in

(4)

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

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