Confidence ellipsoids based on a general family of shrinkage estimators for a linear model with non-spherical disturbances

DOI10.1016/J.JMVA.2011.07.005MaRDI QIDQ643304zbMATH OpenOpenAlexFDO

Authors Anoop Chaturvedi, Suchita Gupta, M. Ishaq Bhatti

Publication date 28 October 2011

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

Full work available at URL https://doi.org/10.1016/j.jmva.2011.07.005

zbMATH Keywords

asymptotic distributionconcentration probabilityexpected volume

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• Double k-Class Estimators of Coefficients in Linear Regression
• Estimation with quadratic loss.
• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• scientific article; zbMATH DE number 63476 (Why is no real title available?)
• On double k-class estimators of coefficients in linear regression
• The inadmissibility of the Stein estimator in normal multiple regression equations
• The sampling distribution of shrinkage estimators and their F-ratios in the regression model
• Unbiased estimation of the MSE matrices of improved estimators in linear regression

Cited in

(4)

• Confidence ellipsoids for regression coefficients by observations from a mixture
• Robust Bayesian analysis of a multivariate dynamic model
• Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries
• Shrinkage estimator for spatial auto-regressive model with endogenous covariates

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