PMSE dominance of the positive-part shrinkage estimator in a regression model with proxy variables

DOI10.1080/00949655.2018.1491576OpenAlexW2810925006WikidataQ129614658 ScholiaQ129614658MaRDI QIDQ4960729

Hai-Feng Xu, Akio Namba

Publication date: 23 April 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2018.1491576

zbMATH Keywords

shrinkage estimatordominancepredictive mean squared errorpositive-part estimator

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical decision theory (62C99)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Adaptive Lasso and Its Oracle Properties
• Efficient shrinkage in parametric models
• PMSE dominance of the positive-part shrinkage estimator in a regression model when relevant regressors are omitted.
• Dropping variables versus use of proxy variables in linear regression
• PMSE performance of the Stein-rule and positive-part Stein-rule estimators in a regression model with or without proxy variables
• SHRINKAGE EFFICIENCY BOUNDS
• Double k-Class Estimators of Coefficients in Linear Regression
• Mes performance of the minimum mean squared error estimators in a linear regression model when relevant regressors are omitted
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• PMSE PERFORMANCE OF THE BIASED ESTIMATORS IN A LINEAR REGRESSION MODEL WHEN RELEVANT REGRESSORS ARE OMITTED
• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
• Relative Asymptotic Bias from Errors of Omission and Measurement
• A Note on the Use of Proxy Variables
• The Risk of James–Stein and Lasso Shrinkage
• Stein-like 2SLS estimator