A Simulation of Biased Estimation and Subset Selection Regression Techniques

DOI10.2307/1268986zbMath0649.62064OpenAlexW1972351346MaRDI QIDQ3795084

A. E. Hoerl, John H. Schuenemeyer, Roger W. Hoerl

Publication date: 1986

Published in: Technometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1268986

zbMATH Keywords

ridge regressionleast squaresprincipal component regressionstepwise regressionbiased estimationlarge-scale simulationsubset selection regression techniques

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (11)

Variable Selection in Logistic Regression Models ⋮ Ridge regression and the Lasso: how do they do as finders of significant regressors and their multipliers? ⋮ A simulation study on comparison of prediction methods when only a few components are relevant ⋮ Estimating simultaneous equations models by a simulation technique ⋮ Predictability measures for ridge regression models ⋮ Small sample properties of ridge estimators with normal and non-normal disturbances ⋮ On choosing the level of significance for the goldfeld and quandt heteroskedasticity pretesting ⋮ The exact properties of the lawless and wang operational ridge regression estimator in a misspecified regression equation ⋮ A comparison of stein-like procedures for estimating linear regression models with multicollinear data ⋮ Optimal weighting of a priori statistics in linear estimation theory ⋮ Bayesian variable assessment

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