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Estimating R2 Shrinkage In Multiple Regression: A Comparison Of Different Analytical Methods, Ping Yin

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

This study investigated the effectiveness of various analytical methods used for estimating R² shrinkage in multiple regression analysis. Two categories of analytical formulae were identified: estimators of the population squared multiple correlation coefficient (ρ²), and estimators of the population cross-validity coefficient (ρ_c²). To avoid possible confounding factors that might be associated with a real data set such as data nonnormality, lack of precise population parameters, different degrees of multicollinearity among the predictor variables, and so forth, the Monte Carlo method was used to simulate multivariate normal sample data, with prespecified population parameters such as …