Choosing Shrinkage Estimators for Regression Problems

John E. Rolph

ResearchPublished 1975

A Bayesian formulation of the canonical form of the standard regression model is used to compare various Stein-type estimators and the ridge estimator of regression coefficients. A particular ("constant prior") Stein-type estimator having the same pattern of shrinkage as the ridge estimator is recommended for use.

Document Details

  • Copyright: RAND Corporation
  • Availability: Web Only
  • Year: 1975
  • Pages: 14
  • Document Number: R-1640-OEO

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Rolph, John E., Choosing Shrinkage Estimators for Regression Problems. Santa Monica, CA: RAND Corporation, 1975. https://www.rand.org/pubs/reports/R1640.html.
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