Revistes Publicacions URV: SORT - Statistics and Operations Research Transactions> 2018

Preliminary test and Stein-type shrinkage LASSO-based estimators

  • Identification data

    Identifier: RP:2470
    Handle: https://hdl.handle.net/20.500.11797/RP2470
    Authors:
    Arashi, MohammadNorouzirad, Mina
    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.

  • Others:

    URV's Author/s: Arashi, Mohammad Norouzirad, Mina
    Keywords: Double shrinking, LASSO, preliminary test LASSO, restricted LASSO, Stein-type shrinkage LASSO
    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.
    Journal publication year: 2018
    Publication Type: info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article

  • Keywords:

    Double shrinking, LASSO, preliminary test LASSO, restricted LASSO, Stein-type shrinkage LASSO

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