Showing 1 - 10 of 13
random vectors to achieve robustness against outliers in both the response and covariates. Simulation studies demonstrate the …
Persistent link: https://www.econbiz.de/10010576502
Single index models are natural extensions of linear models and overcome the so-called curse of dimensionality. They have applications to many fields, such as medicine, economics and finance. However, most existing methods based on least squares or likelihood are sensitive when there are...
Persistent link: https://www.econbiz.de/10010702795
In this paper, we propose a two-stage variable selection procedure for high dimensional quantile varying coefficient models. The proposed method is based on basis function approximation and LASSO-type penalties. We show that the first stage penalized estimator with LASSO penalty reduces the...
Persistent link: https://www.econbiz.de/10010702800
A semiparametric copula model for bivariate survival data is characterized by a parametric copula model of dependence and nonparametric models of two marginal survival functions. Efficient estimation for the semiparametric copula model has been recently studied for the complete data case. When...
Persistent link: https://www.econbiz.de/10010718995
Inference for variance components in linear mixed models of ANOVA type, including estimation and testing, has been investigated when the number of fixed effects is fixed. However, for high-dimensional data, this number is large and would be regarded as a divergent value as the sample size goes...
Persistent link: https://www.econbiz.de/10011116228
In this paper, we describe and study a class of linear shrinkage estimators of the covariance matrix that is well-suited for high dimensional matrices, has a rather wide domain of applicability, and is rooted into the Gaussian conjugate framework of Chen (1979). We propose here a new look at...
Persistent link: https://www.econbiz.de/10010930743
Recently, Liu (1993) estimator draws an important attention to estimate the regression parameters for an ill-conditioned linear regression model when the vector of errors is distributed according to the law belonging to the class of elliptically contoured distributions (ECDs). This paper...
Persistent link: https://www.econbiz.de/10011041925
In this paper we propose James–Stein type estimators for variances raised to a fixed power by shrinking individual variance estimators towards the arithmetic mean. We derive and estimate the optimal choices of shrinkage parameters under both the squared and the Stein loss functions. Asymptotic...
Persistent link: https://www.econbiz.de/10010576497
robustness of the improvement is established for both invariant and noninvariant loss functions in the above model as well as in …
Persistent link: https://www.econbiz.de/10005221392
This paper considers the estimation of the parameters of measurement error models where the estimated covariance matrix of the regression parameters is ill conditioned. We consider the Hoerl and Kennard type (1970) ridge regression (RR) modifications of the five quasi-empirical Bayes estimators...
Persistent link: https://www.econbiz.de/10010718988