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Some contributions to selection and estimation in the normal linear model

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Abstract

We study the choice of the quantity α in the FPEα criterion for selecting a member of a class of normal linear models having an orthogonal structure. Two approaches are discussed, namely fixing the maximal estimation risk at a prescribed level and using minimax regret. Estimation of the risk actually achieved and an illustrative example are also discussed.

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Authors and Affiliations

  1. Department of Statistics and Operations Research, Potchefstroom University, 2520, Potchefstroom, South Africa

    J. H. Venter & S. J. Steel

Authors
  1. J. H. Venter
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  2. S. J. Steel
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Additional information

This research was supported by the FRD of South Africa.

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Venter, J.H., Steel, S.J. Some contributions to selection and estimation in the normal linear model. Ann Inst Stat Math 44, 281–297 (1992). https://doi.org/10.1007/BF00058641

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  • DOI: https://doi.org/10.1007/BF00058641

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