Standard Article

Shrinkage Regression

Statistical and Numerical Computing

  1. Rolf Sundberg

Published Online: 15 SEP 2006

DOI: 10.1002/9780470057339.vas020

Encyclopedia of Environmetrics

Encyclopedia of Environmetrics

How to Cite

Sundberg, R. 2006. Shrinkage Regression. Encyclopedia of Environmetrics. 5.

Author Information

  1. Stockholm University, Sweden

Publication History

  1. Published Online: 15 SEP 2006

Abstract

Shrinkage regression refers to shrinkage methods of estimation or prediction in regression situations, useful when there is multicollinearity among the regressors. With a term borrowed from approximation theory, these methods are also called regularization methods. Such situations occur frequently in environmetric studies, when many chemical, biological or other explanatory variables are measured.