Estimating R 2 Shrinkage in Multiple Regression: A Comparison of Different Analytical Methods
@article{Yin2001EstimatingR2, title={Estimating R 2 Shrinkage in Multiple Regression: A Comparison of Different Analytical Methods}, author={Ping Yin and Xitao Fan}, journal={The Journal of Experimental Education}, year={2001}, volume={69}, pages={203 - 224} }
Abstract The effectiveness of various analytical formulas for estimating R 2 shrinkage in multiple regression analysis was investigated. Two categories of formulas were identified: estimators of the squared population multiple correlation coefficient (ρ2) and those of the squared population cross-validity coefficient (ρc 2). The authors conducted a Monte Carlo experiment to investigate the effectiveness of the analytical formulas for estimating R 2 shrinkage, with 4 fully crossed factors…
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