Roger Wesley Hoerl

This study compared various biased estimation and subset selection regression techniques over a wide range of realistic situations. In an attempt to make the results applicable to the class of all practical regression problems, the parameters relevant to a comparison of the techniques involved were varied systematically. An outline of the design follows. (1) The residual variance ((sigma)('2)) was set equal to one for simplicity. (2) The overall signal, r('2) = (beta)'(beta), took on values from 10 to 10,000. (3) The number of independent variables took on the values 6, 10, and 19.