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James-Stein Type Estimators in Large Samples with Application to the Least Absolute Deviations Estimator
Kim, Tae-Hwan; White, Halbert - Department of Economics, University of California-San … - 2000
We explore the extension of James-Stein type estimators in a direction that enables them to preserve their superiority when the sample size goes to infinity. Instead of shrinking a base estimator towards a fixed point, we shrink it towards a data-dependent point. We provide an analytic...
Persistent link: https://www.econbiz.de/10010536427
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James-Stein Type Estimator in Large Samples with Application to the Least Absolute Deviations Estimator
Kim, Tae-Hwan; White, Halbert - Department of Economics, University of California-San … - 2000
We explore the extension of James-Stein type estimators in a direction that enables them to preserve their superiority when the sample size goes to infinity. Instead of shrinking a base estimator towards a fixed point, we shrink it towards a data-dependent point. We provide an analytic...
Persistent link: https://www.econbiz.de/10010536400
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Two-stage point estimation with a shrinkage stopping rule
Kubokawa, T.; Saleh, A. - In: Metrika 41 (1994) 1, pp. 293-306
Persistent link: https://www.econbiz.de/10005598614
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Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors
Hillebrand, Eric; Lee, Tae-Hwy - School of Economics and Management, University of Aarhus - 2012
We examine the Stein-rule shrinkage estimator for possible improvements in estimation and forecasting when there are …-rule shrinkage. We conduct Monte Carlo simulations to examine these parameter regions. The overall picture that emerges is that the … Stein-rule shrinkage estimator can dominate both OLS and principal components estimators within an intermediate range of the …
Persistent link: https://www.econbiz.de/10010851208
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Estimating High-Dimensional Time Series Models
Medeiros, Marcelo C.; Mendes, Eduardo F. - School of Economics and Management, University of Aarhus - 2012
We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume both the number of covariates in the model and candidate variables can increase with the number of observations and the number of candidate variables is,...
Persistent link: https://www.econbiz.de/10010851219
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VARIABLE SELECTION IN FORECASTING MODELS FOR CORPORATE BANKRUPTCY
Amendola, Alessandra; Restaino, Marialuisa; Sensini, Luca - Dipartimento di Scienze Economiche e Statistiche … - 2010
selection problem, comparing innovative techniques based on shrinkage with traditional stepwise methods. The predictive …
Persistent link: https://www.econbiz.de/10010860336
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Dynamics of crack opening in a one-dimensional desiccation experiment
Lecocq, N.; Vandewalle, N. - In: Physica A: Statistical Mechanics and its Applications 321 (2003) 3, pp. 431-441
exposed to shrinkage induced by desiccation. The opening rate of single cracks is obtained. A simple model is introduced to …
Persistent link: https://www.econbiz.de/10010872866
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A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - CESifo - 2014
multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …
Persistent link: https://www.econbiz.de/10010877672
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Identification losses in the FMCG1 sector in the light of the European and global researches
Lewandowska, Justyna - Keleti Károly Gazdasági Kar, Óbudai Egyetem
The main aim of the article is to present a very high level of the shrinkage in the FMCG sector on the European and …
Persistent link: https://www.econbiz.de/10010878305
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Forecasting Exchange Rates under Model and Parameter Uncertainty
Beckmann, Joscha; Schüssler, Rainer - Center for Quantitative Economics (CQE), … - 2014
appropriate shrinkage intensity over time. We consider (short-term) forecasting of six major US dollar exchange rates using a … standard set of macro fundamentals. Our results indicate the importance of shrinkage and flexible model selection …
Persistent link: https://www.econbiz.de/10010889829