deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage …

component analysis (SPCA), coupled with a variety of other factor estimation as well as data shrinkage methods, including … nonlinear methods, and that using a combination of factor and other shrinkage methods often yields superior predictions. For … forms of shrinkage. For example, SPCA yields MSFE-best prediction models in many cases, particularly when coupled with …