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
|
---|---|
Authors: | Sundberg, Rolf |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 3.1985, 2, p. 75-79
|
Publisher: |
Elsevier |
Subject: | mean squared error multivariate regression |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Développements récents dans le domaine de la séparation magnétique dans le groupe Svedala
Sundberg, Rolf, (1996)
-
The convergence rate of the TM algorithm of Edwards & Lauritzen
Sundberg, Rolf, (2002)
-
Multivariate Calibration - Direct and Indirect Regression Methodology
Sundberg, Rolf, (1999)
- More ...