Results 251 to 260 of about 25,682 (291)

Multi-Index Shrinkage Estimation

The Journal of Wealth Management, 2005
The authors present an improved method for estimating the asset class covariance matrix for input into a mean variance optimizer. Starting with the Ledoit and Wolf [2003] stock level Bayesian shrinkage estimator, they derive a multi-index shrinkage estimator for capturing the actual asset class return structure and for estimating the covariance matrix.
Michael D. Bergmann, C. Thomas Howard
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Shrinkage averaging estimation

Statistical Papers, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Estimating soil shrinkage parameters

2004
Publisher Summary A systemic, process-based conceptual model of the soil-shrinkage curve (SC) for characterizing and parameterizing the soil–water medium is presented in this chapter. The model demonstrates a unique link between soil water properties of nonrigid aggregated soil medium and its internal volume change.
E. Braudeau, R.H. Mohtar, N. Chahinian
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SHRINKAGE ESTIMATION OF MEAN-VARIANCE PORTFOLIO

International Journal of Theoretical and Applied Finance, 2016
This paper studies the optimal expected gain/loss of a portfolio at a given risk level when the initial investment is zero and the number of stocks [Formula: see text] grows with the sample size [Formula: see text]. A new estimator of the optimal expected gain/loss of such a portfolio is proposed after examining the behavior of the sample mean vector ...
Liu, Yan, Chan, Ngai Hang, Ng, Chi Tim, Wong, Samuel Po Shing   +3 more
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Bayes Shrinkage Estimators of Weibull Parameters

IEEE Transactions on Reliability, 1985
Shrinking an unbiased estimator of a parameter towards a prior value of the parameter has been treated by Thompson, Lemmer, and others. The shrunken estimator is better than the unbiased estimator if true value of the parameter is close to its prior value and is less s-efficient otherwise.
Pandey, M., Upadhyay, S. K.
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Sometimes pool t estimation – via shrinkage

Journal of Statistical Planning and Inference, 1999
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Srivastava, Rakesh, Kapasi, Zoola
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Approximate Bayesian shrinkage estimation

Annals of the Institute of Statistical Mathematics, 1994
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Shrinkage-based semiparametric density estimation

Statistical Methodology, 2016
Abstract Shrinkage estimation is used to develop a semiparametric density estimator as a linear combination of a fully known parametric density function and a nonparametric density estimator. We determine the asymptotic properties of the shrinkage coefficient and of the semiparametric estimator’s integrated squared error.
S. Ejaz Ahmed, Mohamed Amezziane
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SHRINKAGE ESTIMATION FOR NEARLY SINGULAR DESIGNS

Econometric Theory, 2007
Summary: Shrinkage estimation procedures such as ridge regression and the lasso have been proposed for stabilizing estimation in linear models when high collinearity exists in the design. In this paper, we consider asymptotic properties of shrinkage estimators in the case of ``nearly singular'' designs.
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Improved Shrinkage Estimation of Relative Potency

Biometrical Journal, 1995
AbstractThis article considers the asymptotic estimation theory for the log relative potency in a symmetric parallel bioassay when uncertain prior information about the true log relative potency is assumed to be a known quantity. Three classes of point estimation, namely, the unrestricted estimator, the shrinkage restricted estimator and shrinkage ...
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