New approach in biased regression

New approach in biased regression

An optimization problem which provides a new characterization for ridge regression is discussed. A variant of this optimization problem leads to a new family of biased estimators that includes the Stein estimation method and principal components regression as particular cases. The whole approach is...

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Veröffentlicht in:Journal of applied statistics 1997-12, Vol.24 (6), p.647-658
Hauptverfasser: Qannari, E. M., Vigneau, E., Semenou, M.
Format: Artikel
Sprache:eng
Schlagworte:
Bias
Calibration
Eigenvalues
Estimating techniques
Independent variables
Methods
Optimization
Regression analysis
Statistical methods
Variables
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Zusammenfassung:An optimization problem which provides a new characterization for ridge regression is discussed. A variant of this optimization problem leads to a new family of biased estimators that includes the Stein estimation method and principal components regression as particular cases. The whole approach is illustrated on the basis of real data sets.
ISSN:0266-4763
1360-0532
DOI:10.1080/02664769723396