Improved prediction in the presence of multicollinearity (Q1822169)
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scientific article; zbMATH DE number 4001221
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| English | Improved prediction in the presence of multicollinearity |
scientific article; zbMATH DE number 4001221 |
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Improved prediction in the presence of multicollinearity (English)
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1987
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Monte Carlo techniques are used to examine the performance of several estimators for the linear statistical model under a squared error of prediction loss measure when the data are multicollinear. Under this measure of performance the Stein-like rules that shrink toward the principal components estimator perform very well relative to other minimax estimators for alternative specifications of the characteristic root spectrum. The sampling performance of a non-minimax pretest rule is also considered.
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comparison of estimators
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Mundlak's pre-test estimator
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James-Stein estimator
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partitioned limited translation estimators
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Monte Carlo experiment
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multicollinearity
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squared error of prediction loss
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Stein- like rules
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principal components estimator
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minimax estimators
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characteristic root spectrum
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sampling performance
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non-minimax pretest rule
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0.8228976726531982
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0.8219295740127563
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0.820327639579773
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0.8067411780357361
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