Discussion |
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| Authors: | Robert I. Jennrich Samuel D. Oman |
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| Affiliation: | 1. Department of Mathematics , University of California , Los Angeles , CA , 90024;2. Department of Statistics , Hebrew University , Jerusalem , Israel |
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| Abstract: | The use of Stein estimation in multiple linear regression is considered. Tables and graphs are presented that compare the prediction mean squared errors of positive-part James-Stein, preliminary-test, reduced, and full-model least squares estimates. The appropriateness of using Stein contraction on possibly extraneous variables is emphasized, and a procedure is presented for evaluating the likely savings in using Stein estimation on the problem at hand. An example is given. |
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| Keywords: | Stein estimators Preliminary test estimators Prediction mean squared error |
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