Generalized Shrinkage Estimators

We construct a targeted shrinkage estimator which has global reduced risk relative to the unrestricted estimator. We also investigate shrinkage estimation when ...

Generalized Shrinkage Methods for Forecasting using Many ...

We find that, for most macroeconomic time series, among linear estimators the. DFM forecasts make efficient use of the information in the many predictors by ...

The generalized shrinkage estimator for the analysis of functional ...

Multivariate time series, periodogram matrix, shrinkage, spectral density matrix, vector autoregressive model. 1102. Page 2. THE GENERALIZED SHRINKAGE ESTIMATOR.

The generalized shrinkage estimator for the analysis of functional ...

In Section 4 we show the performance of the generalized shrinkage estimator relative to the. VAR estimator, smoothed periodogram and the multitaper on a ...

Shrinkage (statistics) - Wikipedia

A shrinkage estimator is an estimator that, either explicitly or implicitly, incorporates the effects of shrinkage. In loose terms this means that a naive or ...

Generalized Robust Shrinkage Estimator and Its Application ... - HAL

PASCAL et al.: COVARIANCE MATRIX ESTIMATION: GENERALIZED ROBUST SHRINKAGE ESTIMATOR VERSUS TYLER ESTIMATOR. 3. In [5], a similar shrinkage fixed ...

Shrinkage estimation in general linear models - ScienceDirect.com

Assuming the usual regularity conditions underlying the general linear model, the conventional least squares (LS) estimator is δ L S ( y ) = β ˆ = ( X ′ X ) − 1 ...

Generalized Shrinkage Methods for Forecasting Using Many ...

We find that, for most macroeconomic time series, among linear estimators the DFM forecasts make efficient use of the information in the many predictors by ...

A generalized class of shrinkage estimators in linear regression ...

A generalized class of shrinkage estimators in linear regression is proposed the risk associated with the class is derived under a general quadratic loss ...

Pretest and shrinkage estimators in generalized partially linear ...

We propose some novel and improved methods to estimate the regression coefficients of generalized partially linear models (GPLM).

Stein-Rule Estimation and Generalized Shrinkage Methods for ...

We examine the Stein-rule shrinkage estimator for possible improvements in estimation and forecasting when there are many predictors in a linear time series ...

Generalized robust shrinkage estimator and its application to STAP ...

PASCAL et al.: COVARIANCE MATRIX ESTIMATION: GENERALIZED ROBUST SHRINKAGE ESTIMATOR VERSUS TYLER ESTIMATOR. 3. In [5], a similar shrinkage fixed point has been ...

Generalized Robust Shrinkage Estimator and Its Application to ...

Secondly, by analyzing this solution, called the generalized robust shrinkage estimator, we prove that this solution converges to a unique ...

Efficient Shrinkage in Parametric Models - Cemmap

This paper introduces shrinkage for general parametric models. We show how to shrink maxi- mum likelihood estimators towards parameter subspaces defined by ...

Shrinkage, pretest, and penalty estimators in generalized linear ...

We investigate the relative performances of Stein type shrinkage, pretest, and penalty estimators ( GLM, adaptive GLM, and SCAD) with respect to the ...

Generalized ridge shrinkage estimation in restricted linear model

Considering the advantages of both the Stein estimation and generalized ridge estimation, a new biased estimation is proposed by combining the ...

Shrinkage Estimation Strategies in Generalised Ridge Regression ...

The simulation study reveals that the linear shrinkage estimator performs the best in both prediction and error of estimation senses, that is, ...

Shrinkage Estimation with General Loss Functions - jstor

A recommended shrinkage factor interval is calculated for gaussian, unbiased estimators based on this analysis. Since the minimum MSE estimator is generally ...

The generalized shrinkage estimator for the analysis of functional ...

Smoothing-based nonparametric estimators are robust to model misspecification and are consistent but may have poor frequency resolution. In this work, we ...

Goodness of fit for generalized shrinkage estimation

Linear regression, non-spherical disturbances, coefficient of determina- tion (R2), shrinkage estimation, generalized least squares estimator, ...