Shrinkage estimation for nearly singular designs

被引：10

作者：

Knight, Keith ^{[1
]}

机构：

[1] Univ Toronto, Dept Stat, Toronto, ON M5S 3G3, Canada

来源：

ECONOMETRIC THEORY | 2008年 / 24卷 / 02期

关键词：

D O I：

10.1017/S0266466608080146

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Shrinkage estimation procedures such as ridge regression and the lasso have been proposed for stabilizing estimation in linear models when high collinearity exists in the design. In this paper, we consider asymptotic properties of shrinkage estimators in the case of "nearly singular" designs.

引用

页码：323 / 337

页数：15

共 26 条

[1] [Anonymous], 1996, ASYMPTOTICS CONVEX S
[2] BARNABANI M, 2002, 200213 U FLOR DEP ST
[3] CANER M, 2006, LASSO TYPE GMM ESTIM
[4] CANER M, 2004, NEARLY SINGULAR DESI
[5] Extremal quantile regression
Chernozhukov, V
[J]. ANNALS OF STATISTICS, 2005, 33 (02) : 806 - 839
[6] Likelihood estimation and inference in a class of nonregular econometric models
Chernozhukov, V
Hong, A
[J]. ECONOMETRICA, 2004, 72 (05) : 1445 - 1480
[7] Variable selection via nonconcave penalized likelihood and its oracle properties
Fan, JQ
Li, RZ
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2001, 96 (456) : 1348 - 1360
[8] A STATISTICAL VIEW OF SOME CHEMOMETRICS REGRESSION TOOLS
FRANK, IE
FRIEDMAN, JH
[J]. TECHNOMETRICS, 1993, 35 (02) : 109 - 135
[9] Penalized regressions: The bridge versus the lasso
Fu, WJJ
[J]. JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS, 1998, 7 (03) : 397 - 416
[10] GABAIX X, 2006, LOG RANK 1 2 SIMPLE

← 1 2 3 →