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Positive-shrinkage and Pretest Estimation in Multiple Regression: A Monte Carlo study with Applications
[article]
2011
arXiv
pre-print
Consider a problem of predicting a response variable using a set of covariates in a linear regression model. If it is a priori known or suspected that a subset of the covariates do not significantly contribute to the overall fit of the model, a restricted model that excludes these covariates, may be sufficient. If, on the other hand, the subset provides useful information, shrinkage method combines restricted and unrestricted estimators to obtain the parameter estimates. Such an estimator
arXiv:1109.2527v1
fatcat:aa7743b66nbpnfmnzmr66qihy4