Evaluation of Regression Coefficient Estimates Using α-Acceptability
作者:
GeorgeP. McCabe,
期刊:
Technometrics
(Taylor Available online 1978)
卷期:
Volume 20,
issue 2
页码: 131-139
ISSN:0040-1706
年代: 1978
DOI:10.1080/00401706.1978.10489637
出版商: Taylor & Francis Group
关键词: Multiple linear regression;Subset selection;Ridge regression;Confidence regions
数据来源: Taylor
摘要:
A framework, called α-acceptability, is proposed for evaluating alternatives to the usual least squares estimates of regression coefficients. An estimate is defined to be α-acceptable if it is in the usual (1 - α) 100% confidence region, Estimates which are α-acceptable for large values of α, such as .99 (corresponding to a 1% confidence region) are viewed as statistically indistinguishable from the usual estimates and, in a sense, simply rounded off. Applications to subset selection, ridge regression, and a class of minimax procedures are discussed and illustrated with an example.
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