Rank theory approach to ridge, LASSO, preliminary test and Stein-type estimators : comparative study.
| Autor: | Saleh, A. K. Md. Ehsanes |
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| Další autoři: |
Navrátil, Radim, 1985-
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| Jazyk: | angličtina |
| Předmět: | |
| Druh dokumentu: | Non-fiction |
| ISSN: | 0023-5954 |
| Abstrakt: | Abstract: In the development of efficient predictive models, the key is to identify suitable predictors for a given linear model. For the first time, this paper provides a comparative study of ridge regression, LASSO, preliminary test and Stein-type estimators based on the theory of rank statistics. Under the orthonormal design matrix of a given linear model, we find that the rank based ridge estimator outperforms the usual rank estimator, restricted R-estimator, rank-based LASSO, preliminary test and Stein-type R-estimators uniformly. On the other hand, neither LASSO nor the usual R-estimator, preliminary test and Stein-type R-estimators outperform the other. The region of domination of LASSO over all the R-estimators (except the ridge R-estimator) is the interval around the origin of the parameter space. Finally, we observe that the L22-risk of the restricted R-estimator equals the lower bound on the L22-risk of LASSO. Our conclusions are based on L22-risk analysis and relative L22-risk efficiencies with related tables and graphs. |
| Databáze: | Katalog Knihovny AV ČR |
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