An Application of the Generalized Shrunken Least Squares Estimator on Principal Component Regression

by Jann-Huei Jinn, Chwan-Chin Song, and W.B. Mou.

Abstract: This study will propose a modified method to delete predictor variables that are strongly correlated. We believe the modified method will reduce more estimated variances for the estimated coefficients in the model.

Key Words: Multicolinearity, Principal Component, Predictors

Authors:
Jann-Huei Jinn, jinnj@gvsu.edu
Chawn-Chin Song, ccsong@math.nccu.edu.tw
W.B. Mou

Editor: Ravi Khattree, khattree@oakland.edu

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