Minimum mean square error of a generalized Stein estimator

DOI10.1016/0165-1765(86)90199-0zbMATH Open1328.62461OpenAlexW1985066351MaRDI QIDQ899850FDOQ899850

Authors: Lawrence C. Marsh, Michael J. Radzicki 

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(86)90199-0

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Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Ridge Regression: Biased Estimation for Nonorthogonal Problems
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Cited In (3)

• Estimating risk and the mean squared error matrix in Stein estimation
• The Kullback-Leibler risk of the Stein estimator and the conditional MLE
• The exact mean squared error of Stein-rule estimator in linear models

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