Partial Factor Modeling: Predictor-Dependent Shrinkage for Linear Regression

We develop a modified Gaussian factor model for the purpose of inducing predictor-dependent shrinkage for linear regression. The new model predicts well across a wide range of covariance structures, on real and simulated data. Furthermore, the new model facilitates variable selection in the case of correlated predictor variables, which often stymies other methods.

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Year of publication:	2013
Authors:	Hahn, P. Richard ; Carvalho, Carlos M. ; Mukherjee, Sayan
Published in:	Journal of the American Statistical Association. - Taylor & Francis Journals, ISSN 0162-1459. - Vol. 108.2013, 503, p. 999-1008
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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