Shrinkage estimation in system regression model

被引：6

作者：

Arashi, Mohammad ^{[1
]}

Roozbeh, Mahdi ^{[2
]}

机构：

[1] Shahrood Univ, Sch Math Sci, Dept Stat, Shahrood, Iran

[2] Semnan Univ, Fac Math Stat & Comp Sci, Dept Stat, Semnan, Iran

来源：

COMPUTATIONAL STATISTICS | 2015年 / 30卷 / 02期

关键词：

Feasible estimator; Positive-rule Stein-type estimator; Preliminary test estimator; Seemingly unrelated regression model; Shrinkage estimator; SEEMINGLY UNRELATED REGRESSIONS; RIDGE-REGRESSION;

D O I：

10.1007/s00180-014-0539-5

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This article considers the problem of point/set estimation in a specific seemingly unrelated regression model, namely system regression model. Feasible type of shrinkage estimator and its positive part are defined for the effective regression coefficient vector, when the covariance matrix of the error term is assumed to be unknown. Their asymptotic distributional properties are evaluated. Further, related improved confidence set problems are discussed. A simulation study is conducted to evaluate the performance of the estimators.

引用

页码：359 / 376

页数：18

共 50 条

[1] Shrinkage estimation in system regression model
Mohammad Arashi
Mahdi Roozbeh
Computational Statistics, 2015, 30 : 359 - 376
[2] An application of shrinkage estimation to the nonlinear regression model
Ahmed, S. Ejaz
Nicol, Christopher J.
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2012, 56 (11) : 3309 - 3321
[3] Shrinkage estimation and selection for a logistic regression model
Hossain, Shakhawat
Ahmed, S. Ejaz
PERSPECTIVES ON BIG DATA ANALYSIS: METHODOLOGIES AND APPLICATIONS, 2014, 622 : 159 - 176
[4] Shrinkage estimation for the regression parameter matrix in multivariate regression model
Chitsaz, Shabnam
Ahmed, S. Ejaz
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2012, 82 (02) : 309 - 323
[5] Shrinkage estimation in lognormal regression model for censored data
Hossain, Shakhawat
Howlader, Hatem A.
JOURNAL OF APPLIED STATISTICS, 2017, 44 (01) : 162 - 180
[6] Shrinkage estimation applied to a semi-nonparametric regression model
Zareamoghaddam, Hossein
Ahmed, Syed E.
Provost, Serge B.
INTERNATIONAL JOURNAL OF BIOSTATISTICS, 2021, 17 (01): : 23 - 38
[7] ON SHRINKAGE R-ESTIMATION IN A MULTIPLE-REGRESSION MODEL
SALEH, AKME
SEN, PK
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1986, 15 (07) : 2229 - 2244
[8] Bayesian prediction and estimation based on a shrinkage prior for a Poisson regression model
Komaki, Fumiyasu
JAPANESE JOURNAL OF STATISTICS AND DATA SCIENCE, 2024, 7 (01) : 411 - 429
[9] Shrinkage inverse regression estimation for model-free variable selection
Bondell, Howard D.
Li, Lexin
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 2009, 71 : 287 - 299
[10] Asymptotic shrinkage estimation: The regression case
Ahmed, SE
APPLIED STATISTICAL SCIENCE, II: PAPERS IN HONOR OF MUNIR AHMAD, 1997, : 113 - 143

← 1 2 3 4 5 →