Cover: Choosing Shrinkage Estimators for Regression Problems

Choosing Shrinkage Estimators for Regression Problems

Published 1975

by John E. Rolph


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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.

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