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Australasian Biometrics and New Zealand Statistical Association Joint Conference 2001
December 10-13, 2001
Park Royal Hotel
Christchurch, New Zealand

Organizers
David Baird, Dave Saville, Harold Henderson, Peter Johnstone, Marco Reale, Irene Hudson, Julian Visch, Roger Littlejohn

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Construction of predictors in regression using Empirical Bayes
by
Alan Lee
University of Auckland
Coauthors: Yong Wang (University of Waikato)

We discuss a method, similar in spirit to ridge regression, for making predictions in linear regression when there are a large number of potential predictors.

The method is compared both theoretically and by simulation to other methods in common use and is shown to be competitive in terms of prediction error. The method uses Empirical Bayes techniques to estimate the optimal predictor.

Date received: August 26, 2001

Copyright © 2001 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # cahg-29.