On the degrees of freedom in shrinkage estimation
نویسندگان
چکیده
منابع مشابه
On the degrees of freedom in shrinkage estimation
We study the degrees of freedom in shrinkage estimation of the regression coefficients. Generalizing the idea of the Lasso, we consider the problem of estimating the coefficients by the projection of the ordinary least squares estimator onto a closed convex set. Then an unbiased estimator of the degrees of freedom is derived in terms of geometric quantities under a smoothness condition on the b...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2009
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2008.12.002