Estimators of the Mean Squared Error of Prediction in Linear Regression
作者:
O. Bunke,
B. Droge,
期刊:
Technometrics
(Taylor Available online 1984)
卷期:
Volume 26,
issue 2
页码: 145-155
ISSN:0040-1706
年代: 1984
DOI:10.1080/00401706.1984.10487940
出版商: Taylor & Francis Group
关键词: Regression model;Response function;Selection of variables
数据来源: Taylor
摘要:
If a linear regression model is used for prediction, the mean squared error of prediction (MSEP) measures the performance of the model. The MSEP is a function of unknown parameters and good estimates of it are of interest. This article derives a best unbiased estimator and a minimum MSE estimator under the assumption of a normal distribution. It compares the bias and the MSE of these estimators and some others. Similar results are presented for the case in which the model is used to estimate values of the response function.
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