Mathematics/Statistics Seminar February 22

You are cordially invited to attend a presentation by

Dr. Shakhawat Hossain,

University of Alberta

Department of Public Health Sciences

Room 5-207 at 4:00 pm,

Monday February 22, 2010.

Dr. Hossain is a candidate for a continuing position in Statistics.

The title and abstract:

Shrinkage, LASSE and Pretest Estimators in Generalized Linear Models

We consider estimation in generalized linear models when there are many potential predictor variables and some of them may not have influence on the response of interest. In the context of two competing models where one model includes all predictors and the other restricts variable coefficients to a candidate linear subspace based on prior knowledge, we investigate the relative performances of Stein type shrinkage in the direction of the subspace, pretest estimators, LASSE, and candidate subspace restricted type estimators. We develop large sample theory for the estimators including derivation of asymptotic bias and mean squared error. Asymptotes and a Monte Carlo simulation study show that the shrinkage estimator overall performs the best and in particular performs better than the LASSE when the dimension of the restricted parameter space is large. A real data set analysis is also presented to compare the suggested methods.