Linear regression.
admissibilityautocorrelated errorsbiased estimationcoefficient of determinationconsistencyequicorrelated errorsGauss-Markov theoremgeneralized least squaresgoodness of fitheteroscedastic errorsinfluential observationsiteration estimatorjackknife modified ridge estimatorleveragelinear admissibilitylinear minimax estimatorlinear unbiased estimationM estimatorMallows' \(C_p\)Marquardt estimatornon-scalar covariance matrixnormal quantile plotnormalitypredictive losspretest estimationregression diagnosticsreparameterizationresidual plotriskscaled condition indexesseemingly unrelated regressionsingular covariance matrixsquared error lossStein estimationstepwise regressiontesting model assumptionstwo-stage estimationvariance inflation factorsweighted least squares estimation
The book covers the basic theory of linear regression models and presents a comprehensive survey of different estimation techniques as alternatives and complements to least squares estimation. The relationship between different estimators is clearly described and categories of estimators are worked out in detail. Proofs are given for the most relevant results, and the presented methods are illustrated with the help of numerical examples and graphics. Special emphasis is laid on the practicability, and possible applications are discussed. In Chapter 1, a brief introduction to the theory of linear regression models is given and a small numerical example is provided. In addition, an introduction to the basics of decision theory is delivered. In Chapter 2, point estimation of regression parameters and common variance of random errors are studied, and special attention is given to the ordinary least squares estimator and the least squares variance estimator. Properties of the least squares estimator of the regression parameter vector are discussed in detail. The next two chapters consist of the second part of the book, which is devoted to alternatives to least squares estimation. In Chapter 3, a number of various estimators is introduced, such as restricted least squares estimator, principal components estimator, ridge estimator, shrinkage estimator, general ridge estimator, linear minimax estimator, linear Bayes estimator, and robust estimators. Besides, the properties of these estimators are compared with those of the ordinary least squares estimator. How to use one or more nonlinear variants of the estimator in question in practice is also demonstrated. Chapter 4 investigates the structure of linearly admissible estimators of regression parameters. Chapter 5 discusses the estimation of the common variance of the random errors in detail. Some relaxation of the assumptions on the covariance matrix of the error vector is also presented. Chapter 6 gives a short review of some regression diagnostic procedures, which includes topics on variable selection, goodness of fit, diagnosing collinearity, inspecting residuals, finding influential observations, and testing model assumptions. A review on matrix algebra and stochastic vectors plus an example analysis with R are given in the appendix. Each chapter contains exercises. This book could serve as a textbook for a course on linear models at graduate level. It is also an excellent reference book for professional, scientists, and researches in theoretical and applied statistics and applied mathematics.
- Matrix trace Wielandt inequalities with statistical applications
- Regularized linear and kernel redundancy analysis
- Linear least squares regression: A different view
- The compression LS estimate of regression coefficient in multivariate linear model
- Influence diagnostic analysis in the possibly heteroskedastic linear model with exact restrictions
- Connectedness versus diversification: two sides of the same coin
- Predictive performance of linear regression models
- An iterative approach to minimize the mean squared error in ridge regression
- On ridge operators
- Portfolio theorem proving and prover runtime prediction for geometry
- Comparison of some estimation methods in linear regression
- Some measures of the amount of information for the linear regression model
- Ridge estimation in linear models with heteroskedastic errors
- Regression estimators. A comparative study.
- scientific article; zbMATH DE number 3909561 (Why is no real title available?)
- scientific article; zbMATH DE number 3967722 (Why is no real title available?)
- scientific article; zbMATH DE number 4011693 (Why is no real title available?)
- Predicting the continuation of a function with applications to call center data
- scientific article; zbMATH DE number 49700 (Why is no real title available?)
- scientific article; zbMATH DE number 52731 (Why is no real title available?)
- Asymptotic behaviour of regression pre-test estimators with minimal Bayes risk
- Difference-based ridge estimator of parameters in partial linear model
- Efficiency of the modified jackknifed Liu-type estimator
- Shrinkage estimation for the mean of the inverse Gaussian population
- Applied Linear Regression
- Kernel estimator and predictor of partially linear mixed-effect errors-in-variables model
- Almost sure convergence for weighted sums of -mixing random variables with applications
- The feasible generalized restricted ridge regression estimator
- Diagnostics in elliptical regression models with stochastic restrictions applied to econometrics
- Non-diagonal-type estimator in linear regression
- Reviving some geometric aspects of shrinkage estimation in linear models
- V-optimality of designs in random effects Poisson regression models
- A new approach in modelling the circular data: circular ridge estimator
- Admissible linear estimators in the general Gauss-Markov model under generalized extended balanced loss function
- A note on Cohen's d from a partitioned linear regression model
- A minimum matrix valued risk estimator combining restricted and ordinary least squares estimators
- A Statistical Learning Theory Approach for the Analysis of the Trade-off Between Sample Size and Precision in Truncated Ordinary Least Squares
- A note on Farebrother’s estimator: a comparative study
- Nonsense associations in Markov random fields with pairwise dependence
- Equality between two general ridge estimators and equivalence of their residual sums of squares
- Restricted Liu-type regression estimators in linear regression model
- An information criterion for normal regression estimation
- Linear estimation with regressor decomposition
- A jackknifed ridge estimator in the linear regression model with heteroscedastic or correlated errors
- Regularized partial and/or constrained redundancy analysis
This page was built for publication: Linear regression.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1399073)
