Penalty, Shrinkage, and Preliminary Test Estimators under Full Model Hypothesis
Abstract
This paper considers a multiple regression model and compares, under full model hypothesis, analytically as well as by simulation, the performance characteristics of some popular penalty estimators such as ridge regression, LASSO, adaptive LASSO, SCAD, and elastic net versus Least Squares Estimator, restricted estimator, preliminary test estimator, and Stein-type estimators when the dimension of the parameter space is smaller than the sample space dimension. We find that RR uniformly dominates LSE, RE, PTE, SE and PRSE while LASSO, aLASSO, SCAD, and EN uniformly dominates LSE only. Further, it is observed that neither penalty estimators nor Stein-type estimator dominate one another.
Keywords
Cite
@article{arxiv.1503.06910,
title = {Penalty, Shrinkage, and Preliminary Test Estimators under Full Model Hypothesis},
author = {Enayetur Raheem and A. K. Md. Ehsanes Saleh},
journal= {arXiv preprint arXiv:1503.06910},
year = {2015}
}
Comments
28 pages, 4 figures, 10 tables. arXiv admin note: text overlap with arXiv:1503.05160