Choosing shrinkage estimators for regression problems
- 1 January 1976
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 5 (9) , 789-802
- https://doi.org/10.1080/03610927608827397
Abstract
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.Keywords
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