Generalized mean squared error properties of regression estimators |
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| Authors: | R F Gunst R L Mason |
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| Institution: | 1. Southern Methodist University , Dallas, Texas;2. Southwest Research Institute , San Antonio, Texas |
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| Abstract: | Theobald (1974) compares Ordinary Least Squares and Ridge Regression estimators of regression parameters using a generalized mean squared error criterion. This paper presents the generalized mean squared error of a Principal Components Regression estimator and comparisons are made with each of the above estimators. In general the choice of which estimator to use depends on the magnitude and the orientation of the unknown parameter vector. |
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| Keywords: | mean squared error multicollinearity least squares ridge regression principal components regression |
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