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ERIC Number: EJ895488
Record Type: Journal
Publication Date: 2010-Sep
Pages: 21
Abstractor: As Provided
Reference Count: 29
ISSN: ISSN-0033-3123
A Constrained Linear Estimator for Multiple Regression
Davis-Stober, Clintin P.; Dana, Jason; Budescu, David V.
Psychometrika, v75 n3 p521-541 Sep 2010
"Improper linear models" (see Dawes, Am. Psychol. 34:571-582, "1979"), such as equal weighting, have garnered interest as alternatives to standard regression models. We analyze the general circumstances under which these models perform well by recasting a class of "improper" linear models as "proper" statistical models with a single predictor. We derive the upper bound on the mean squared error of this estimator and demonstrate that it has less variance than ordinary least squares estimates. We examine common choices of the weighting vector used in the literature, e.g., single variable heuristics and equal weighting, and illustrate their performance in various test cases.
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Publication Type: Journal Articles; Reports - Evaluative
Education Level: N/A
Audience: N/A
Language: English
Sponsor: N/A
Authoring Institution: N/A