Optimal regression parameter-specific shrinkage by plug-in estimation
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2019.1602649
Abstract: Abstract One benefit of the bias-variance tradeoff is that regression estimators do not have to be strictly unbiased. However, to take full advantage of allowing bias, shrinkage regression estimators require that the appropriate level of… read more here.
Keywords: regression estimators; regression; regression parameter; shrinkage ... See more keywords
Adaptive estimation of high-dimensional signal-to-noise ratios
Sign Up to like & getrecommendations! Published in 2018 at "Bernoulli"
DOI: 10.3150/17-bej975
Abstract: We consider the equivalent problems of estimating the residual variance, the proportion of explained variance $\eta$ and the signal strength in a high-dimensional linear regression model with Gaussian random design. Our aim is to understand… read more here.
Keywords: high dimensional; estimation; regression parameter; distribution ... See more keywords