Feasible Stein-Type and Preliminary Test Estimations in the System Regression Model

Mina Norouzirad, Mohammad Arashi, Filipe J. Marques, Naushad A. Mamode Khan

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Abstract

In a system of regression models, finding a feasible shrinkage is demanding since the covariance structure is unknown and cannot be ignored. On the other hand, specifying sub-space restrictions for adequate shrinkage is vital. This study proposes feasible shrinkage estimation strategies where the sub-space restriction is obtained from LASSO. Therefore, some feasible LASSO-based Stein-type estimators are introduced, and their asymptotic performance is studied.

Original languageEnglish
Pages (from-to)258-275
Number of pages18
JournalStatistics, Optimization and Information Computing
Volume11
Issue number2
DOIs
Publication statusPublished - 2023

Keywords

  • Feasible generalized least squares estimator
  • LASSO
  • Preliminary test estimation
  • Seemingly unrelated regression models
  • Shrinkage estimation
  • Stein-type estimation

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