PMSE dominance of the positive-part shrinkage estimator in a regression model with proxy variables-Reference-Cited by-同舟云学术

PMSE dominance of the positive-part shrinkage estimator in a regression model with proxy variables

Published:2018-06-27 Issue:15 Volume:88 Page:2893-2908
ISSN:0094-9655
Container-title:Journal of Statistical Computation and Simulation
language:en
Short-container-title:Journal of Statistical Computation and Simulation

Author:

Namba Akio¹,Xu Haifeng²

Affiliation:

1. Graduate School of Economics, Kobe University, Kobe, Japan

2. Department of Statistics, School of Economics, Xiamen University and Wang Yanan Institute for Studies in Economics (WISE), Xiamen, People's Republic of China

Funder

Japan Society for the Promotion of Science

Natural Science Foundation of Fujian Province of China

Fundamental Research Funds for the Central Universities

Key Projects of Philosophy and Social Sciences Research of Ministry of Education of China

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/00949655.2018.1491576

Reference24 articles.

1. Stein C. Inadmissibility of the usual estimator for the mean of a multivariate normal distribution. Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability. Vol. 1. Berkeley; University of California Press; 1956. p. 197–206.

2. James W, Stein C. Estimation with quadratic loss. Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability. Vol. 1. Berkeley: University of California Press; 1961. p. 361–379.

3. A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution

4. SHRINKAGE EFFICIENCY BOUNDS

5. Stein-like 2SLS estimator

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