Application of shrinkage estimation in linear regression models with autoregressive errors

DOI10.1080/00949655.2014.971326OpenAlexW1991840952MaRDI QIDQ5222289

No author found.

Publication date: 1 April 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2014.971326

zbMATH Keywords

likelihood ratio testMonte Carlo simulationshrinkage estimatorsadaptive Lassoautoregressive errorsasymptotic distributional bias and risk

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (6)

Optimal regression parameter-specific shrinkage by plug-in estimation ⋮ Efficient estimation method for generalized ARFIMA models ⋮ Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation ⋮ Shrinkage estimation in linear mixed models for longitudinal data ⋮ Shrinkage and penalized estimators in weighted least absolute deviations regression models ⋮ Non-penalty shrinkage estimation of random effect models for longitudinal data with AR(1) errors

Uses Software

• R
• astsa

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Adaptive Lasso and Its Oracle Properties
• LASSO and shrinkage estimation in Weibull censored regression models
• Improved estimation in multiple linear regression models with measurement error and general constraint
• Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted
• The Loss Rank Criterion for Variable Selection in Linear Regression Analysis
• A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Regression Shrinkage and Selection via The Lasso: A Retrospective
• Sparsity and Smoothness Via the Fused Lasso
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• Penalized regression models with autoregressive error terms
• Smoothly Clipped Absolute Deviation on High Dimensions
• L₁ penalty and shrinkage estimation in partially linear models with random coefficient autoregressive errors
• Model Selection and Estimation in Regression with Grouped Variables
• Theory of Preliminary Test and Stein‐Type Estimation With Applications
• A Semiparametric Basis for Combining Estimation Problems Under Quadratic Loss

This page was built for publication: Application of shrinkage estimation in linear regression models with autoregressive errors