Pre-Test type estimators for selection of simple normal models

DOI10.1080/00949659408811619zbMATH Open0838.62044OpenAlexW1983936337MaRDI QIDQ4869573FDOQ4869573

Authors: J. H. Venter, S. J. Steel 

Publication date: 26 March 1996

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

Full work available at URL: https://doi.org/10.1080/00949659408811619

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zbMATH Keywords

Stein estimationsquared errorrisk estimatorcomplexity cost lossregression principal componentssome zeros family

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Cites Work

• Title not available (Why is that?)
• Parametric robustness: Small biases can be worthwhile
• Title not available (Why is that?)
• Maximum likelihood estimation of a compound Poisson process
• The Little Bootstrap and Other Methods for Dimensionality Selection in Regression: X-Fixed Prediction Error
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution
• Numerical Specification of Discrete Least Favorable Prior Distributions
• The extended Stein procedure for simultaneous model selection and parameter estimation
• Improved estimation under collinearity and squared error loss
• An adaptive empirical Bayes estimator of the multivariate normal mean under quadratic loss
• The Admissibility of a Preliminary Test Estimator When the Loss Incorporates a Complexity Cost
• Estimating the mean of a normal distribution with loss equal to squared error plus complexity cost
• On the inadmissibility of preliminary-test estimators when the loss involves a complexity cost
• Some comments on estimation in regression after preliminary tests of significance
• Estimating the probability of correct selection
• Simultaneous selection and estimation for the some zeros family of normal models

Cited In (1)

• Variable selection and error rate estimation in discriminant analysis

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