(1) Department of Statistics and Operations Research, Potchefstroom University, 2520 Potchefstroom, South Africa
Abstract:
We study the choice of the quantity in the FPE criterion for selecting a member of a class of normal linear models having an orthogonal structure. Two approaches are discussed, namely fixing the maximal estimation risk at a prescribed level and using minimax regret. Estimation of the risk actually achieved and an illustrative example are also discussed.This research was supported by the FRD of South Africa.