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How Much Does Stein Estimation Help in Multiple Linear Regression?

 

作者: RobertI. Jennrich,   SamuelD. Oman,  

 

期刊: Technometrics  （Taylor Available online 1986）
卷期: Volume 28, issue 2  

页码: 113-121

 

ISSN:0040-1706

 

年代: 1986

 

DOI:10.1080/00401706.1986.10488112

 

出版商: Taylor & Francis Group

 

关键词: Stein estimators;Preliminary test estimators;Prediction mean squared error

 

数据来源: Taylor

 

摘要:

The use of Stein estimation in multiple linear regression is considered. Tables and graphs are presented that compare the prediction mean squared errors of positive-part James-Stein, preliminary-test, reduced, and full-model least squares estimates. The appropriateness of using Stein contraction on possibly extraneous variables is emphasized, and a procedure is presented for evaluating the likely savings in using Stein estimation on the problem at hand. An example is given.

 

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