Goodness of fit for generalized shrinkage estimation

DOI10.1090/TPMS/1106zbMATH Open1446.62205OpenAlexW3047219652MaRDI QIDQ5117971FDOQ5117971

Author name not available (Why is that?)

Publication date: 26 August 2020

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1106

zbMATH Keywords

linear regressiongeneralized least squares estimatorgoodness of fitshrinkage estimationnon-spherical disturbancesfeasible generalized least squares estimatordouble \(k\)-class estimatorscoefficient of determination \((R^2)\)feasible double \(k\)-class estimators

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Title not available (Why is that?)
• Double k-Class Estimators of Coefficients in Linear Regression
• Hypothesis Testing in Linear Models when the Error Covariance Matrix is Nonscalar
• Minimum mean squared error estimation of each individual coefficient in a linear regression model
• Risk and Pitman closeness properties of feasible generalized double \(k\)-class estimators in linear regression models with non-spherical disturbances under balanced loss function
• Exact small sample properties of an operational variant of the minimum mean squared error estimator
• Double \(k\)-class estimators in regression models with non-spherical disturbances
• Selecting a double \(k\)-class estimator for regression coefficients
• Moments of the ratio of quadratic forms in non-normal variables with econometric examples
• The Minimum Mean Square Error Linear Estimator and Ridge Regression
• Performance of double \(k\)-class estimators for coefficients in linear regression models with non-spherical disturbances under asymmetric losses
• The coefficient of determination and its adjusted version in linear regression models
• Mean and variance of \(R^ 2\) in small and moderate samples
• Goodness of fit in restricted measurement error models
• Coefficient of determination for multiple measurement error models
• Comparing approximations to the expectation of a ratio of quadratic forms in normal variables

Cited In (1)

• Goodness of fit in nonparametric regression modelling

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