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Technometrics Volume 28, 1986 - Issue 2
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Original Articles

How Much Does Stein Estimation Help in Multiple Linear Regression?

Robert I. Jennrich Department of Mathematics, University of California, Los Angeles, CA, 90024
&
Samuel D. Oman Department of Statistics, Hebrew University, Jerusalem, Israel
Pages 113-121 | Published online: 23 Mar 2012

REFERENCES

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  • Brown , P. J. and Zidek , J. V. 1982 . “Multivariate Regression Shrinkage Estimators With Unknown Covariance Matrix,” . Scandinavian Journal of Statistics , 9 : 209 – 215 .
  • Efron , B. and Morris , C. 1976 . “Families of Minimax Estimators of the Mean of a Multivariate Normal Distribution,” . The Annals of Statistics , 4 : 11 – 21 .
  • Henderson , H. and Velleman , P. 1981 . “Building Multiple Regression Models Interactively,” . Biometrics , 37 : 391 – 411 .
  • Hocking , R. R. 1976 . “The Analysis and Selection of Variables in Linear Regression,” . Biometrics , 32 : 1 – 44 .
  • International Mathematical and Statistical Libraries, Inc . 1980 . IMSL Library Houston : Author. .
  • James , W. and Stein , C. “Estimation With Quadratic Loss,” . Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability . Vol. 1 , pp. 361 – 379 . Berkeley , CA : University of California Press. .
  • Lindley , D. V. 1962 . Discussion of “Confidence Sets for the Mean of a Multivariate Normal Distribution,” by C. M. Stein . Journal of the Royal Statistical Society , 24 : 285 – 287 . Ser. B
  • Patnaik , P. B. 1949 . “The Noncentral x2 and F-Distributions and Their Applications,” . Biometrika , 36 : 202 – 232 .
  • Sclove , S. 1968 . “Improved Estimators for Coefficients in Linear Regression,” . Journal of the American Statistical Association , 63 : 596 – 606 .
  • Sclove , S. , Morris , C. and Radhakrishnan , R. 1972 . “Nonoptimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution,” . Annals of Mathematical Statistics , 43 : 1481 – 1490 .
  • Stein , C. 1966 . “An Approach to the Recovery of Inter-Block Information in Balanced Incomplete Block Designs,”. ” . In Festschrift for J. Neyman Edited by: David , F. N. New York : John Wiley. .
  • Stein , C. 1981 . “Estimation of the Mean of a Multivariate Normal Distribution,” . The Annals of Statistics , 9 : 1135 – 1151 .
  • Yancey , T. A. and Judge , G. G. 1976 . “A Monte Carlo Comparison of Traditional and Stein-Rule Estimators Under Squared Error Loss,” . Journal of Econometrics , 4 : 285 – 294 .

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