A Single-Sample Estimate of Shrinkage in Meteorological Forecasting

Abstract

An estimator of shrinkage based on information contained in a single sample is presented and the results of a simulation study are reported. The effects of sample size, amount, and severity of nonrepresentative data in the population, inclusion of noninformative predictors, and least (sum of ) absolute deviations and least (sum of ) squared deviations regression models are examined on the estimator. A single-sample estimator of shrinkage based on drop-one cross-validation is shown to be highly accurate under a wide variety of research conditions.