Pre-Test type estimators for selection of simple normal models

DOI10.1080/00949659408811619MaRDI QIDQ4869573zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

complexity cost lossregression principal componentsrisk estimatorsome zeros familysquared errorStein estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

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Cites work

• An adaptive empirical Bayes estimator of the multivariate normal mean under quadratic loss
• Estimating the mean of a normal distribution with loss equal to squared error plus complexity cost
• Estimating the probability of correct selection
• scientific article; zbMATH DE number 4088698 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Improved estimation under collinearity and squared error loss
• Maximum likelihood estimation of a compound Poisson process
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution
• Numerical Specification of Discrete Least Favorable Prior Distributions
• On the inadmissibility of preliminary-test estimators when the loss involves a complexity cost
• Parametric robustness: Small biases can be worthwhile
• Simultaneous selection and estimation for the some zeros family of normal models
• Some comments on estimation in regression after preliminary tests of significance
• The Admissibility of a Preliminary Test Estimator When the Loss Incorporates a Complexity Cost
• The extended Stein procedure for simultaneous model selection and parameter estimation
• The Little Bootstrap and Other Methods for Dimensionality Selection in Regression: X-Fixed Prediction Error

Cited in

(1)

• Variable selection and error rate estimation in discriminant analysis

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