Improved Shrinkage Estimation of Squared Multiple Correlation Coefficient and Squared Cross-Validity Coefficient

@article{Shieh2008ImprovedSE,
  title={Improved Shrinkage Estimation of Squared Multiple Correlation Coefficient and Squared Cross-Validity Coefficient},
  author={Gwowen Shieh},
  journal={Organizational Research Methods},
  year={2008},
  volume={11},
  pages={387 - 407}
}
  • G. Shieh
  • Published 1 April 2008
  • Mathematics
  • Organizational Research Methods
The sample squared multiple correlation coefficient is widely used for describing the usefulness of a multiple linear regression model in many areas of science. In this article, the author considers the problem of estimating the squared multiple correlation coefficient and the squared cross-validity coefficient under the assumption that the response and predictor variables have a joint multinormal distribution. Detailed numerical investigations are conducted to assess the exact bias and mean… 

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