A brief review of shrinkage estimation of a multivariate normal mean with extension to multiple linear regression

淡江大學機構典藏 > 商管學院 > 統計學系暨研究所 > 期刊論文 > Item 987654321/20584

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題名:	A brief review of shrinkage estimation of a multivariate normal mean with extension to multiple linear regression
作者:	林志娟;Lin, Jyh-jiuan;Pal, Nabendu;Chang, Ching-hui
貢獻者:	淡江大學統計學系
關鍵詞:	loss function;prediction mean squared error (PMSE);risk function
日期:	2005-12
上傳時間:	2009-11-30 12:52:41 (UTC+8)
出版者:	Pushpa Publishing House
摘要:	Estimation of regression coefficients in a linear regression model is essential not only to understand the relationship between the response (dependent) variable and the explanatory (independent) variables, but also for predicting the response variable efficiently. It is known that an improved shrinkage estimation of the regression coefficients leads to a better prediction of the response variable in terms of lower prediction mean squared error. In this review paper we revisit the shrinkage estimation of the regression coefficients, which is an extension of Stein�s seminal work on shrinkage estimation of a multivariate normal mean, and see its connection to prediction. We have compiled materials from the existing major works on shrinkage estimation and added some new results (or extended some existing less known results) so that our review paper gives a comprehensive idea of the topic and hence helps the researchers interested in this area.
關聯:	Advances and Applications in Statistics 5(3), pp.371-399
顯示於類別:	[統計學系暨研究所] 期刊論文

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