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Rob, Gerasimos, and Alex,
In sussing out the CI stuff, I discovered that the Bayesian shrinkage we're getting with extreme score estimates may be too large to be tolerated, especially in the context …
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To verify the time series of creep and shrinkage implementations it would be ideal to compare to a second implementation.
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What would it take to do shrinkage on fixed effects after `reghdfe, absorb( , savefe)`, as briefly discussed [here](http://sacarny.com/programs/) (with further links therein)?
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#### Description
The current implementation of shrinkage 'auto' is to calculate ledoit-wolf shrinkage factor separately for each matrix.
The within-class covariance matrices are calcula…
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I was talking with @stephens999 at the Moore Investigator Symposium. His group has developed an "adaptive shrinkage" procedure. I wanted to get a feel for this method and therefore am exploring how it…
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# Summary
Currently shrinkage is parsed from the lst without respect to the method. Use the shk file to parse shrinkage data per method.
Change the shrinkage structure member from an object to a…
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In testing this out in my own app, I found some errors that I was able to correct and one I couldn't.
With Ionic 2.1.0-beta.3, the following changes had to be made:
import { Component, **Directive**…
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### Cel:
1. Czy własna kompozycja globalnego portfela, jest lepsza niż index ACWI.
2. Czy wykorzystanie polskich akcji w portfelu wnosi coś w zakresie zwrotu i ryzyka.
Klasy aktywów:
| klasa a…
msz13 updated
4 months ago
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shrinking the endog is another principle that allows reuse of existing methods for robust regression. This is similar to winsorizing and an alternative to trimming or dropping outliers (e.g. #3273 #9…
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Hi- I'd like to ask your advice on the following situation.
I computed a 32x47 matrix of Pearson correlation coefficients and now I would like to apply shrinkage to these coefficients. If it matte…