회귀분석에서 혼합형태 추정량에 대한 연구
Regression Shirnkage and Selection via Combined Type Estimator
- 안병진(Byoung Jin Ahn) 장인석(Jang In Seog)
- 건국대학교 경제경영연구소
- 제22권 제2호
- 57 - 72 (16 pages)
A new method, called combined type estimator, is proposed for estimation in linear model. It combines ridge estimator and shrinkage estimator with subset selection. If the regression equations generated by a procedure do not change drastically with small changes in the data, the procedure is called stable. Subset selection is unstable, ridge and shrinkage are very stable, and combined type estimator is intermediate. A method for choosing shrinkage parameters is also discussed and this method is based on a prediction-oriented criterion, which is a generalized version of Mallows Cp statistic.
Ⅱ. 비교하고자 하는 추정량