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B. Yüzbaşı

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Preprint Sep 2026

Max-Test-Calibrated Stein Shrinkage with Honest Submodel Selection in Ultra-High-Dimensional Regression

Classical preliminary-test and Stein-type estimators interpolate between restricted and full regression fits, but OLS and chi-squared calibration fail when $p\gg n$ and the restriction is data-adaptive. We propose an honest sample-separated framework built around a common selected-null law. Independent selection data e...

B. Yüzbaşı · 0 citations

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