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}
}
  • Ping Yin, Xitao Fan
  • Published 1 January 2001
  • Mathematics
  • The Journal of Experimental Education
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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