Choosing shrinkage estimators for regression problems |
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| Authors: | John E Rolph |
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| Institution: | The Rand Corporation , Santa Monica, California |
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| Abstract: | A Bayesian formulation of the canonical form of the standard regression model is used to compare various Stein-type estimators and the ridge estimator of regression coefficients, A particular (“constant prior”) Stein-type estimator having the same pattern of shrinkage as the ridge estimator is recommended for use. |
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| Keywords: | ridge regression empirical Bayes estimators Stein estimators Bayes estimators |
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