Efficient shrinkage in parametric models
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Cites work
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- A risk bound in Sobolev class regression
- Adaptive GMM shrinkage estimation with consistent moment selection
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- Asymptotic Statistics
- Bonferroni-based size-correction for nonstandard testing problems
- Contracting towards subspaces when estimating the mean of a multivariate normal distribution
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- Employing vague prior information in the construction of confidence sets
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- Estimation with quadratic loss.
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- On methods of sieves and penalization
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- Selecting a minimax estimator of a multivariate normal mean
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Cited in
(33)- Combining observational and experimental datasets using shrinkage estimators
- Shrinkage GMM estimation in conditional moment restriction models
- James-Stein estimation problem for a multivariate normal random matrix and an improved estimator
- Penalized likelihood methods for modeling count data
- PMSE dominance of the positive-part shrinkage estimator in a regression model with proxy variables
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- Shrinkage estimation of the exponentiated Weibull regression model for time‐to‐event data
- Shrinkage estimation and forecasting in dynamic regression models under structural instability
- Posterior Average Effects
- Efficiency gains in least squares estimation: a new approach
- Joint inference based on Stein-type averaging estimators in the linear regression model
- Model averaging in semiparametric estimation of treatment effects
- A weighted average limited information maximum likelihood estimator
- On the market price of risk
- From estimation to optimization via shrinkage
- Satisficing credibility for heterogeneous risks
- Shrink wrapping for Taylor models revisited
- On the trade-off between model expansion, model shrinking, and parameter estimation accuracy in least-squares data analysis
- Shrinkage for categorical regressors
- An averaging estimator for two-step m-estimation in semiparametric models
- Robust empirical Bayes confidence intervals
- A ridge to homogeneity for linear models
- Weighted-average least squares estimation of generalized linear models
- Shrinkage efficiency bounds
- Constrained estimation using penalization and MCMC
- Model averaging for asymptotically optimal combined forecasts
- Optimal multistep VAR forecast averaging
- Efficient estimation for a subclass of shape invariant models
- Minimizing sensitivity to model misspecification
- Bonferroni-based size-correction for nonstandard testing problems
- Higher-order asymptotic theory of shrinkage estimation for general statistical models
- Model averaging: a shrinkage perspective
- A James-Stein-type adjustment to bias correction in fixed effects panel models
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