A Simulation of Biased Estimation and Subset Selection Regression Techniques
From MaRDI portal
Publication:3795084
DOI10.2307/1268986zbMath0649.62064MaRDI 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
ridge regression; least squares; principal component regression; stepwise regression; biased estimation; large-scale simulation; subset selection regression techniques
62J07: Ridge regression; shrinkage estimators (Lasso)
62J05: Linear regression; mixed models
65C05: Monte Carlo methods
65C99: Probabilistic methods, stochastic differential equations
Related Items
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?, Optimal weighting of a priori statistics in linear estimation theory, 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
