Preliminary test and Stein-type shrinkage LASSO-based estimators
Norouzirad, Mina (Shahrood University of Technology (Shahrood, Iran). Department of Statistics)
Arashi, Mohammad (Shahrood University of Technology (Shahrood, Iran). Department of Statistics)

Date:	2018
Abstract:	Suppose the regression vector-parameter is subjected to lie in a subspace hypothesis in a linear regression model. In situations where the use of least absolute and shrinkage selection operator (LASSO) is desired, we propose a restricted LASSO estimator. To improve its performance, LASSO-type shrinkage estimators are also developed and their asymptotic performance is studied. For numerical analysis, we used relative efficiency and mean prediction error to compare the estimators which resulted in the shrinkage estimators to have better performance compared to the LASSO.
Rights:	Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades.
Language:	Anglès
Document:	Article ; recerca ; Versió publicada
Subject:	Double shrinking ; LASSO ; Preliminary test LASSO ; Restricted lasso ; Stein-type shrinkage LASSO
Published in:	SORT : statistics and operations research transactions, Vol. 42 Núm. 1 (January-June 2018) , p. 45-58 (Articles) , ISSN 2013-8830

Adreça alternativa: https://raco.cat/index.php/SORT/article/view/338208
DOI: 10.2436/20.8080.02.68

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