Performances of the Positive-Rule Stein-Type Ridge Estimator in a Linear Regression Model with Spherically Symmetric Error Distributions

DOI10.1080/03610926.2011.579378zbMATH Open1298.62121OpenAlexW2055446254MaRDI QIDQ5299094FDOQ5299094

Jianwen Xu, Hu Yang

Publication date: 25 June 2013

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.579378

zbMATH Keywords

Stein-type estimatorridge estimatorpreliminary testquadratic riskmultivariate Student' \(t\) distribution

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Title not available (Why is that?)
• Shrinkage estimation in general linear models
• A new estimator combining the ridge regression and the restricted least squares methods of estimation
• Stein-type improvement under stochastic constraints: use of multivariate Student-\(t\) model in regression
• Theory of Preliminary Test and Stein‐Type Estimation With Applications
• Improved nonparametric estimation of location vectors in multivariate regression models
• Preliminary test ridge regression estimators with Student's \(t\) errors and conflicting test-statis\-tics
• Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
• On preliminary test ridge regression estimators for linear restrictions in a regression model with non-normal disturbances
• Relative performance of stein-rule and preliminary test estimators in linear models least squares theory
• Biased estimation in a simple multivariate regression model

Cited In (2)

• Diagnostics in elliptical regression models with stochastic restrictions applied to econometrics
• Title not available (Why is that?)

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