Performance Limits for Estimators of the Risk or Distribution of Shrinkage-Type Estimators, and Some General Lower Risk-Bound Results
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- Leeb, Hannes & P tscher, Benedikt M., 2006. "Performance Limits For Estimators Of The Risk Or Distribution Of Shrinkage-Type Estimators, And Some General Lower Risk-Bound Results," Econometric Theory, Cambridge University Press, vol. 22(01), pages 69-97, February.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015. "Testing the lag structure of assets’ realized volatility dynamics," Economics Working Paper Series 1501, University of St. Gallen, School of Economics and Political Science.
- Pötscher, Benedikt M., 2006. "The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation," MPRA Paper 73, University Library of Munich, Germany, revised Jul 2006.
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"On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding,"
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- Pötscher, Benedikt M. & Leeb, Hannes, 2007. "On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding," MPRA Paper 5615, University Library of Munich, Germany.
- Tae-Hwy Lee & Zhou Xi & Ru Zhang, 2013. "Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks," Working Papers 201422, University of California at Riverside, Department of Economics, revised Apr 2012.
- Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators," Journal of Econometrics, Elsevier, vol. 152(1), pages 19-27, September.
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"Sparse estimators and the oracle property, or the return of Hodges' estimator,"
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- Hannes Leeb & Benedikt M. Poetscher, 2005. "Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator," Cowles Foundation Discussion Papers 1500, Cowles Foundation for Research in Economics, Yale University, revised Apr 2007.
- Christian T. Brownlees & Giampiero M. Gallo, 2010.
"Comparison of Volatility Measures: a Risk Management Perspective,"
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- Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-01-19 (All new papers)
- NEP-CFN-2003-01-19 (Corporate Finance)
- NEP-ECM-2003-01-19 (Econometrics)
- NEP-RMG-2003-01-19 (Risk Management)
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