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CORRIGENDUM: Correction to “Performance Limits for Estimators of the Risk or Distribution of Shrinkage-Type Estimators, and Some General Lower Risk-Bound Results”

Published online by Cambridge University Press:  18 February 2008

Hannes Leeb  and
Benedikt M. Pötscher
Hannes Leeb
Affiliation:
Yale University
Benedikt M. Pötscher
Affiliation:
University of Vienna
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Extract

In our paper published in vol. 22, no. 1, of Econometric Theory (2006, pp. 69–97) the proof of (22) in Lemma 3.1 is incorrect as given. The problem in the proof occurs after the first display on p. 93 where we attempted to deduce (22) from the already established relation (21). The argument given there is incorrect, because an existence-quantor was mistaken for an all-quantor. We show how the problem can be repaired. In the course of this, we also note a useful variant of another result in Lemma 3.1.

Information

Type
CORRIGENDUM
Information
Econometric Theory , Volume 24 , Issue 2 , April 2008 , pp. 581 - 583
Copyright
© 2008 Cambridge University Press

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References

REFERENCES

Leeb, H. & B.M. Pötscher (2006a) Performance limits for estimators of the risk or distribution of shrinkage-type estimators, and some general lower risk bound results. Econometric Theory 22, 69–97.Google Scholar
Leeb, H. & B.M. Pötscher (2006b) Can one estimate the conditional distribution of post-model-selection estimators? Annals of Statistics 34, 2554–2591.Google Scholar
Leeb, H. & B.M. Pötscher (2008) Can one estimate the unconditional distribution of post-model-selection estimators? Econometric Theory 24, 338–376.Google Scholar
Pötscher, B.M. (2006) The distribution of model averaging estimators and an impossibility result regarding its estimation. In H.-C. Ho, C.-K. Ing, & T.-L. Lai (eds.), IMS Lecture Notes—Monograph Series, vol. 52, pp. 113–129.