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:: Volume 13, Issue 1 (9-2019) ::
J. of Stat. Sci. 2019, 13(1): 1-14 Back to browse issues page
Performance Study of Shrinkage Estimator Under a Linear Constrain in Penalized Regression
Mohammmad Arast *, Mohammmad Arashi, Mohammmad reza Rabie
Abstract:   (3675 Views)

Often‎, ‎in high dimensional problems‎, ‎where the number of variables is large the number of observations‎, ‎penalized estimators based on shrinkage methods have better efficiency than the OLS estimator from the prediction error viewpoint‎. In these estimators‎, ‎the tuning or shrinkage parameter plays a deterministic role in variable selection‎. ‎The bridge estimator is an estimator which simplifies to ridge or LASSO estimators varying the tuning parameter‎. ‎In these paper‎, ‎the shrinkage bridge estimator is derived under a linear constraint on regression coefficients and its consistency is proved‎. ‎Furthermore‎, ‎its efficiency is evaluated in a simulation study and a real example‎.

Keywords: Bridge‎, ‎Shrinkage Methods.
Full-Text [PDF 384 kb]   (1010 Downloads)    
Type of Study: Applied | Subject: Applied Statistics
Received: 2016/11/17 | Accepted: 2018/06/29 | Published: 2019/02/25
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Arast M, Arashi M, Rabie M R. Performance Study of Shrinkage Estimator Under a Linear Constrain in Penalized Regression. J. of Stat. Sci.. 2019; 13 (1) :1-14
URL: http://jss.irstat.ir/article-1-506-en.html

Volume 13, Issue 1 (9-2019) Back to browse issues page
مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences
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