Minimum mean square error of a generalized Stein estimator

DOI10.1016/0165-1765(86)90199-0MaRDI QIDQ899850zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3156765 (Why is no real title available?)
• scientific article; zbMATH DE number 3816886 (Why is no real title available?)
• Ridge Regression: Biased Estimation for Nonorthogonal Problems

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(3)

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

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