When is the inverse regression estimator MSE-superior to the standard regression estimator in multivariate controlled calibration situations?
We assume as model a standard multivariate regression of y on x, fitted to a controlled calibration sample and used to estimate unknown x's from observed y-values. The standard weighted least squares estimator ('classical', regress y on x and 'solve' for x) and the biased inverse regression estimator (regress x on y) are compared with respect to mean squared error. The regions are derived where the inverse regression estimator yields the smaller MSE. For any particular component of x this region is likely to contain 'most' future values in usual practice. For simultaneous estimation this needs not be true, however.
Year of publication: |
1985
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Authors: | Sundberg, Rolf |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 3.1985, 2, p. 75-79
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Publisher: |
Elsevier |
Subject: | mean squared error multivariate regression |
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