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Shrinkage and Penalized Likelihood as Methods to Improve Predictive Accuracy

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  • J. C. Van Houwelingen

Abstract

A review is given of shrinkage and penalization as tools to improve predictive accuracy of regression models. The James‐Stein estimator is taken as starting point. Procedures covered are Pre‐test Estimation, the Ridge Regression of Hoerl and Kennard, the Shrinkage Estimators of Copas and Van Houwelingen and Le Cessie, the LASSO of Tibshirani and the Garotte of Breiman. An attempt is made to place all these procedures in a unifying framework of semi‐Bayesian methodology. Applications are briefly mentioned, but not amply discussed.

Suggested Citation

  • J. C. Van Houwelingen, 2001. "Shrinkage and Penalized Likelihood as Methods to Improve Predictive Accuracy," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 55(1), pages 17-34, March.
    • Handle: RePEc:bla:stanee:v:55:y:2001:i:1:p:17-34
    DOI: 10.1111/1467-9574.00154
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    Cited by:

    1. Aris Perperoglou, 2011. "Fitting survival data with penalized Poisson regression," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(4), pages 451-462, November.
    2. Dunkler, Daniela & Sauerbrei, Willi & Heinze, Georg, 2016. "Global, Parameterwise and Joint Shrinkage Factor Estimation," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 69(i08).
    3. Shao, Jun & Chow, Shein-Chung, 2007. "Variable screening in predicting clinical outcome with high-dimensional microarrays," Journal of Multivariate Analysis, Elsevier, vol. 98(8), pages 1529-1538, September.
    4. Luis Castro-Martín & Maria del Mar Rueda & Ramón Ferri-García, 2020. "Inference from Non-Probability Surveys with Statistical Matching and Propensity Score Adjustment Using Modern Prediction Techniques," Mathematics, MDPI, vol. 8(6), pages 1-19, June.
    5. Ricci, Lila, 2010. "Adjusted R-squared type measure for exponential dispersion models," Statistics & Probability Letters, Elsevier, vol. 80(17-18), pages 1365-1368, September.
    6. Muhammad Amin & Lixin Song & Milton Abdul Thorlie & Xiaoguang Wang, 2015. "SCAD-penalized quantile regression for high-dimensional data analysis and variable selection," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 69(3), pages 212-235, August.

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