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Shrinkage,pretest, and penalty estimators in generalized linear models
Institution:1. Department of Mathematics and Statistics, University of Winnipeg, Winnipeg, MB, Canada;2. Department of Mathematics, Brock University, St. Catharines, ON, Canada;3. Department of Statistics, University of Wisconsin, Madison, WI, USA;1. School of Statistics, East China Normal University, Shanghai, 200241, PR China;2. School of Mathematics and Finance, Chuzhou University, Chuzhou, 239000, PR China;3. School of Mathematics, Statistics and Actuarial Science, University of Kent, Canterbury, Kent CT2 7NF, UK;1. King Fahd University of Petroleum and Minerals, Department of Mathematics and Statistics, Dhahran 31261, Saudi Arabia;2. Department of Applied Mathematics, University of Bonn, HCM, BiBoS, IZKS, Germany;1. IBM Research, T. J. Watson Research Center, P.O. Box 218, Yorktown Heights, NY 10598, USA;2. Department of Mathematics and Statistics, McMaster University, Hamilton, Ontario L8S 4K1, Canada;1. Department of Statistics, University of Florida, P.O. Box 118545, Gainesville, FL 32611-8545, USA;2. Department of Mathematics, Indian Institute of Technology Bombay, Powai, Mumbai 400076, India;3. Department of Mathematics, State University of New York at Stony Brook, Stony Brook, NY, USA
Abstract:
Keywords:Asymptotic risk  Candidate subspaces  Generalized linear models  GLM likelihood ratio test  Linear restrictions  SCAD  Pretest  Stein type shrinkage
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