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 …

latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the …

estimated separately. This pooling factor is related to the concept of shrinkage in simple hierarchical models. We illustrate …