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Minimax Multivariate Empirical Bayes Estimators under Multicollinearity
http://hdl.handle.net/2261/2463
http://hdl.handle.net/2261/2463e4629971-ceda-4f79-b9aa-aeb52e6120a1
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Minimax Multivariate Empirical Bayes Estimators under Multicollinearity | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Ernpirical Bayes estimator | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | ridge regression estimator | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | multicollinearity | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | multivariate linear regression model | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | multivariate normal distribution | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Srivastava, M. S.
× Srivastava, M. S.× Kubokawa, Tatsuya |
|||||
著者所属 | ||||||
著者所属 | University of Toronto | |||||
著者所属 | ||||||
著者所属 | University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In this paper we consider the problem of estimating the matrix of regression coefficients in a multivariate linear regression model in which the design matrix is near singular. Under the assumption of normality, we propose empirical Bayes ridge regression estimators with three types of shrinkage functions,that is, scalar, componentwise and matricial shrinkage. These proposed estimators are proved to be uniformly better than the least squares estimator, that is, minimax in terms of risk under the Strawderman's loss function. Through simulation and empirical studies, they are also shown to be useful in the multicollinearity cases. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Journal of Multivariate Analysis, 2004. 掲載予定. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 2002-CF-187, 発行日 2002-12 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 330 | |||||
主題Scheme | NDC | |||||
Mathmatical Subject Classification | ||||||
62J07 | ||||||
Mathmatical Subject Classification | ||||||
62C12 | ||||||
Mathmatical Subject Classification | ||||||
62J05 | ||||||
Mathmatical Subject Classification | ||||||
62C10 | ||||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2002/2002cf187ab.html |