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 …

for selection bias and shrinkage estimation and is to be contrasted with deconvolution. Simulation results confirm the …