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Cross Validation Calibration Based Shrinkage – Revisited for the Construction of Prognostic Indices

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  • W. Vach

Abstract

The use of shrinkage methods for the construction of prognostic indices has been paid increasing attention in the literature on medical statistics in the last years. One approach for the construction of a shrinkage factor is cross validation calibration as suggested by van Houwelingen and le Cessie (1990). We investigate this approach in more detail. First we try to clarify why shrinkage factors constructed by cross validation calibration tend to be smaller than 1. Second we explain why use of this shrinkage factor can result in an improvement of the average prediction error. Third we investigate the possible gain for constellations relevant in medical research by means of a simulation study, focusing on the dilemma, that the improvement on average has to be paid by distinct deteriorations for some patients. Finally we conclude that it is necessary to rethink the choice of loss functions in constructing prognostic indices before recommendations about the use of shrinkage methods can be made.

Suggested Citation

  • W. Vach, 2001. "Cross Validation Calibration Based Shrinkage – Revisited for the Construction of Prognostic Indices," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 55(1), pages 35-52, March.
    • Handle: RePEc:bla:stanee:v:55:y:2001:i:1:p:35-52
    DOI: 10.1111/1467-9574.00155
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