A Simulation of Biased Estimation and Subset Selection Regression Techniques

DOI10.2307/1268986MaRDI QIDQ3795084zbMATH OpenOpenAlexFDO

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

biased estimationlarge-scale simulationleast squaresprincipal component regressionridge regressionstepwise regressionsubset selection regression techniques

Mathematics Subject Classification ID

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

Cited in

(12)

• A simulation study on comparison of prediction methods when only a few components are relevant
• Estimating simultaneous equations models by a simulation technique
• Variable Selection in Logistic Regression Models
• 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
• Bayesian variable assessment
• A comparison of stein-like procedures for estimating linear regression models with multicollinear data
• Ridge regression and the Lasso: how do they do as finders of significant regressors and their multipliers?
• Ridge Regression: A Historical Context
• Optimal weighting of a priori statistics in linear estimation theory

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