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Original Articles

Choosing shrinkage estimators for regression problems

Pages 789-802 | Received 01 Sep 1975, Published online: 27 Jun 2007
 

Abstract

A Bayesian formulation of the canonical form of the standard regression model is used to compare various Stein-type estimators and the ridge estimator of regression coefficients, A particular (“constant prior”) Stein-type estimator having the same pattern of shrinkage as the ridge estimator is recommended for use.

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