Improved estimation under collinearity and squared error loss

DOI10.1016/0047-259X(90)90088-YMaRDI QIDQ581970zbMATH OpenFDO

Authors R. Carter Hill, George G. Judge

Publication date 1990

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(90)90088-Y

zbMATH Keywords

collinearitydeleting principal componentsempirical Bayes estimatorsgeneral linear statisial modellinear regressionsquared error measureStein rulesunbiased estimator of risk

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07) Monte Carlo methods (65C05)

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Cites work

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Cited in

(11)

• An information theoretic approach to estimation in the case of multicollinearity
• Improved prediction in the presence of multicollinearity
• Adaptive unified biased estimators of parameters in linear model
• Small sample performance of the Stein-rule in non-orthogonal designs
• Shrinkage and modification techniques in estimation of variance and the related problems: A review
• Prior information in regression: to choose or not to choose?
• A comparison of stein-like procedures for estimating linear regression models with multicollinear data
• Simultaneous selection and estimation for the some zeros family of normal models
• Pre-Test type estimators for selection of simple normal models
• A new unbiased estimator of a mulitple linear regression model of the CAPM in case of multicollinearity
• Double \(k\)-class estimators in regression models with non-spherical disturbances

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