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Computation of marginal effects from an ill-conditioned model of log(cost.) View/Download Appendix Technical details of shrinkage and smearing methods.
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Wenjiang's thesis under Rob Tibshani at the University of Toronto is entitled "A Statistical Shrinkage Model and Its Applications."
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Nash reviewed PC software that included softRX freeware stand-alone (DOS) applications.
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Ordinary least squares and diagonally-weighted least squares always produce residuals that are optimal estimators of lack-of-fit ...even when the expectation model and/or dispersion model you have specified are/is wrong!
Obenchain, R. L. (1975b). "Ridge analysis following a preliminary test of the shrunken hypothesis" (with discussion.) Technometrics 17, 431-445.
Classical, normal-theory monitoring of the likelihood-of-MSE-optimality along ANY shrinkage path.
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See this paper and/or my Frequently-Asked-Questions page for information on confidence intervals in shrinkage regression.
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The "ridge-function" theorem; maximum likelihood estimation of the "inferior direction" and of scaled MSE risk along any direction in p-dimensional regression coefficient space; MSE risk optimality of 0 or X'y along directions orthogonal to or parallel to beta, respectively.
Obenchain, R. L. (1980). Comment on "A critique of some ridge regression methods." Journal of the American Statistical Association 75, 95-96.
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Proceedings of the Fordham Ridge Symposium, ed. H. D. Vinod; illustrations of usage of RXridge SAS/IML freeware.
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Introduction to basic shrinkage/ridge concepts; illustrations of usage of RXridge .ADO freeware.
Obenchain, R. L. (1997a). "Maximum likelihood shrinkage in regression."
Closed form expressions for classical, fixed coefficient, maximum likelihood estimation within the 2-parameter shrinkage family, and some simulated MSE risk profiles.
Obenchain, R. L. (1997b). "Influential observations in ridge regression."
Exposition of basic "Visual Re-Regression" concepts.
Obenchain, R. L. (1997c). Shrinkage Regression: ridge, BLUP, Bayes and Stein. Preliminary draft (200+ pages.)
Obenchain, R. L. (2005). RXshrink: an R package for maximum likelihood shrinkage in generalized (2-parameter) ridge regression or least angle regression (LAR). www.r-project.org Or... Download Windows package from this site
Obenchain RL. PDF File containing copies of all the Shrinkage Regression Tutorial pages from this web site. [16 pages.] 2008. View/Download PDF copy
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