A Simulation of Biased Estimation and Subset Selection Regression Techniques
作者:
RogerW. Hoer1,
JohnH. Schuenemeyer,
ArthurE. Hoer1,
期刊:
Technometrics
(Taylor Available online 1986)
卷期:
Volume 28,
issue 4
页码: 369-380
ISSN:0040-1706
年代: 1986
DOI:10.1080/00401706.1986.10488155
出版商: Taylor & Francis Group
关键词: Ridge regression;Stepwise regression;Principal component regression
数据来源: Taylor
摘要:
This study compared three biased estimation and four subset selection regression techniques to least squares in a large-scale simulation. The parameters relevant to a comparison of the techniques involved were systematically varied over wide ranges. A parameter of importance not used in previous major simulations of subset techniques, the proportion of independent variables in the data that were superfluous, was included. The major result is that neither biased estimation nor subset selection demonstrated a consistent superiority over the other, excluding stepwise and principal component regression, both of which performed poorly.
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