The pure shrinkage estimator is defined as (hat{beta}_{s}=c hat{beta}), were (0 leq c leq 1) is a
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The pure shrinkage estimator is defined as \(\hat{\beta}_{s}=c \hat{\beta}\), were \(0 \leq c \leq 1\) is a constant chosen by the analyst. Describe the kind of shrinkage that this estimator introduces, and compare it with the shrinkage that results from ridge regression. Intuitively, which estimator seems preferable?
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Related Book For
Introduction To Linear Regression Analysis
ISBN: 9781119578727
6th Edition
Authors: Douglas C. Montgomery, Elizabeth A. Peck, G. Geoffrey Vining
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