Shrinkage efficiency bounds

DOI10.1017/S0266466614000693MaRDI QIDQ3450349zbMATH OpenOpenAlexFDO

Authors Bruce E. Hansen

Publication date 3 November 2015

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466614000693

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15) Minimax procedures in statistical decision theory (62C20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to economics (62P20)

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Cites work

• \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
• A family of admissible minimax estimators of the mean of a multivariate normal distribution
• A sequence of improvements over the James-Stein estimator
• A unified and broadened class of admissible minimax estimators of a multivariate normal mean
• Admissible minimax estimation of a multivariate normal mean with arbitrary quadratic loss
• All estimates with a given risk, Riccati differential equations and a new proof of a theorem of Brown
• An approach to improving the James-Stein estimator
• Asymptotic Statistics
• Estimation of the mean of a multivariate normal distribution
• Estimation of the mean of a univariate normal distribution with known variance
• Families of minimax estimators of the mean of a multivariate normal distribution
• Generalized james-stein estimatoes
• Improving on the James-Stein positive-part estimator
• Minimax Bayes estimators of a multivariate normal mean
• Minimax estimators of the mean of a multivariate normal distribution
• NONPARAMETRIC ESTIMATION OF REGRESSION FUNCTIONS WITH DISCRETE REGRESSORS
• On the construction of Bayes minimax estimators
• Proper Bayes Minimax Estimators of the Multivariate Normal Mean
• Sparse models and methods for optimal instruments with an application to eminent domain
• Stein's idea and minimax admissible estimation of a multivariate normal mean
• Tail minimaxity in location vector problems and its applications
• Testing Statistical Hypotheses
• The exact distribution of the Stein-rule estimator

Cited in

(14)

• Asymptotic properties of risks ratios of shrinkage estimators
• Integral inequality for minimaxity in the Stein problem
• PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS
• A lower bound for the risk of classes of shrinkage estimators ina general multivariate estimation problem and some deduced estimators
• scientific article; zbMATH DE number 3942787 (Why is no real title available?)
• Monotonicity of risk for a shrinkage estimator of a multivariate normal mean
• Shrinkage and Orthogonal Decomposition
• PMSE dominance of the positive-part shrinkage estimator in a regression model with proxy variables
• scientific article; zbMATH DE number 5252061 (Why is no real title available?)
• Stein-like 2SLS estimator
• Shrinkage efficiency bounds: An extension
• Non-minimaxity of debiased shrinkage estimators
• Efficient shrinkage in parametric models
• A unified and generalized set of shrinkage bounds on minimax Stein estimates

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