On the degrees of freedom in shrinkage estimation

Kengo Kato

Journal of Multivariate Analysis, 2009, vol. 100, issue 7, 1338-1352

Abstract: We study the degrees of freedom in shrinkage estimation of regression coefficients. Generalizing the idea of the Lasso, we consider the problem of estimating the coefficients by minimizing the sum of squares with the constraint that the coefficients belong to a closed convex set. Based on a differential geometric approach, we derive an unbiased estimator of the degrees of freedom for this estimation method, under a smoothness assumption on the boundary of the closed convex set. The result presented in this paper is applicable to estimation with a wide class of constraints. As an application, we obtain a Cp type criterion and AIC for selecting tuning parameters.

Keywords: AIC; Degrees; of; freedom; Fused; Lasso; Group; Lasso; Lasso; Mallows'; Cp; Second; fundamental; form; Shrinkage; estimation; Stein's; lemma; Tubal; coordinates (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (12)

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