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A pre-test like estimator dominating the least-squares method
Authors:Yonina C Eldar  Jacob Slava Chernoi
Institution:Department of Electrical Engineering, Technion-Israel Institute of Technology, Haifa 32000, Israel
Abstract:We develop a pre-test type estimator of a deterministic parameter vector ββ in a linear Gaussian regression model. In contrast to conventional pre-test strategies, that do not dominate the least-squares (LS) method in terms of mean-squared error (MSE), our technique is shown to dominate LS when the effective dimension is greater than or equal to 4. Our estimator is based on a simple and intuitive approach in which we first determine the linear minimum MSE (MMSE) estimate that minimizes the MSE. Since the unknown vector ββ is deterministic, the MSE, and consequently the MMSE solution, will depend in general on ββ and therefore cannot be implemented. Instead, we propose applying the linear MMSE strategy with the LS substituted for the true value of ββ to obtain a new estimate. We then use the current estimate in conjunction with the linear MMSE solution to generate another estimate and continue iterating until convergence. As we show, the limit is a pre-test type method which is zero when the norm of the data is small, and is otherwise a non-linear shrinkage of LS.
Keywords:Pre-test estimators  Dominating estimators  Regression analysis  Biased estimation  Mean-squared error criterion
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