Partial factor modeling: Predictor-dependent shrinkage for linear regression

P. Richard Hahn, Carlos M. Carvalho, Sayan Mukherjee

Research output: Contribution to journalArticle

5 Scopus citations

Abstract

We develop a modified Gaussian factor model for the purpose of inducing predictor-dependent shrinkage for linear regression. The new model predicts well across a wide range of covariance structures, on real and simulated data. Furthermore, the new model facilitates variable selection in the case of correlated predictor variables, which often stymies other methods.

Original languageEnglish (US)
Pages (from-to)999-1008
Number of pages10
JournalJournal of the American Statistical Association
Volume108
Issue number503
DOIs
StatePublished - Dec 16 2013
Externally publishedYes

Keywords

  • Prediction
  • Shrinkage estimators
  • Variable selection
  • g Prior

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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