| Abstract: | In the multinomial regression model, we consider the methodology for simultaneous model selection and parameter estimation by using the shrinkage and LASSO (least absolute shrinkage and selection operation) [R. Tibshirani, Regression shrinkage and selection via the LASSO, J. R. Statist. Soc. Ser. B 58 (1996), pp. 267–288] strategies. The shrinkage estimators (SEs) provide significant improvement over their classical counterparts in the case where some of the predictors may or may not be active for the response of interest. The asymptotic properties of the SEs are developed using the notion of asymptotic distributional risk. We then compare the relative performance of the LASSO estimator with two SEs in terms of simulated relative efficiency. A simulation study shows that the shrinkage and LASSO estimators dominate the full model estimator. Further, both SEs perform better than the LASSO estimators when there are many inactive predictors in the model. A real-life data set is used to illustrate the suggested shrinkage and LASSO estimators. |
