Shrinkage estimation for the regression parameter matrix in multivariate regression model

DOI10.1080/00949655.2011.648938zbMath1431.62298OpenAlexW2094474695MaRDI QIDQ4913947

Shabnam Chitsaz, S. Ejaz Ahmed

Publication date: 17 April 2013

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

Full work available at URL: https://doi.org/10.1080/00949655.2011.648938

zbMATH Keywords

linear regressionshrinkage

Mathematics Subject Classification ID

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

Related Items (2)

Shrinkage estimation and variable selection in multiple regression models with random coefficient autoregressive errors ⋮ Efficient estimation for the conditional autoregressive model

Cites Work

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• Biased estimation in a simple multivariate regression model
• Robust inference strategy in the presence of measurement error
• Classifier technology and the illusion of progress
• Risk comparison of some shrinkage M-estimators in linear models
• Modern Multivariate Statistical Techniques
• Applied Multivariate Analysis
• Asymptotic Expansion of the Coverage Probability of James–Stein Estimators
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION

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