Hill, R. Carter; Judge, George G - In: Journal of Multivariate Analysis 32 (1990) 2, pp. 296-312
This paper examines the performance of several biased, Stein-like and empirical Bayes estimators for the general linear statistical model under conditions of collinearity. A new criterion for deleting principal components, based on an unbiased estimator of risk, is introduced. Using a squared...