Effi cient Shrinkage in Parametric Models

@inproceedings{Hansen2011EffiCS,
  title={Effi cient Shrinkage in Parametric Models},
  author={Bruce E. Hansen},
  year={2011}
}
This paper introduces shrinkage for general parametric models. We show how to shrink maximum likelihood estimators towards parameter subspaces defined by general nonlinear restrictions. We derive the asymptotic distribution and risk of the generalized shrinkage estimator using a local asymptotic framework. We show that if the shrinkage dimension exceeds two… CONTINUE READING