Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Global, Parameterwise and Joint Shrinkage Factor Estimation | Dunkler | Journal of Statistical Software
Authors: Daniela Dunkler, Willi Sauerbrei, Georg Heinze
Title: Global, Parameterwise and Joint Shrinkage Factor Estimation
Abstract: The predictive value of a statistical model can often be improved by applying shrinkage methods. This can be achieved, e.g., by regularized regression or empirical Bayes approaches. Various types of shrinkage factors can also be estimated after a maximum likelihood fit has been obtained: while global shrinkage modifies all regression coefficients by the same factor, parameterwise shrinkage factors differ between regression coefficients. The latter ones have been proposed especially in the context of variable selection. With variables which are either highly correlated or associated with regard to contents, such as dummy variables coding a categorical variable, or several parameters describing a nonlinear effect, parameterwise shrinkage factors may not be the best choice. For such cases, we extend the present methodology by so-called 'joint shrinkage factors', a compromise between global and parameterwise shrinkage. Shrinkage factors are often estimated using leave-one-out resampling. We also discuss a computationally simple and much faster approximation to resampling-based shrinkage factor estimation, can be easily obtained in most standard software packages for regression analyses. This alternative may be relevant for simulation studies and other computerintensive investigations. Furthermore, we provide an R package shrink implementing the mentioned shrinkage methods for models fitted by linear, generalized linear, or Cox regression, even if these models involve fractional polynomials or restricted cubic splines to estimate the influence of a continuous variable by a nonlinear function. The approaches and usage of the package shrink are illustrated by means of two examples.

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Paper: Global, Parameterwise and Joint Shrinkage Factor Estimation     Download PDF (Downloads: 401)
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shrink_1.2.1.tar.gz: R source package Download (Downloads: 24; 75KB)
v69i08.R: R replication code Download (Downloads: 26; 13KB)

DOI: 10.18637/jss.v069.i08

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