Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Optimal fractions in terms of a prediction-oriented measure

  • Lee, Won-Woo (Director, Lee's Statistical Analysis Lab, #401 Jeonwon Bldg., 16-47 Nonhyun-dong, Gangnam-gu, Seoul)
  • Published : 1993.12.01
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Abstract

The multicollinearity problem in a multiple linear regression model may present deleterious effects on predictions. Thus, its is desirable to consider the optimal fractions with respect to the unbiased estimate of the mean squares errors of the predicted values. Interstingly, the optimal fractions can be also illuminated by the Bayesian inerpretation of the general James-Stein estimators.

Keywords

References

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