shrink: Global, Parameterwise and Joint Post-Estimation Shrinkage
Post-estimation shrinkage of regression coefficients in statistical modeling can be
used to correct for the overestimation of regression coefficients caused by variable selection.
While global shrinkage modifies all regression coefficients by the same factor, parameterwise
shrinkage factors differ between regression coefficients. With variables which are either
highly correlated or associated with regard to contents, such as several columns of a design
matrix describing a nonlinear effect, parameterwise shrinkage factors are not interpretable
and a compromise between global and parameterwise shrinkage, termed 'joint shrinkage', is a
A computational shortcut to resampling-based shrinkage factor estimation based on DFBETA
residuals can be applied.
Global, parameterwise and joint shrinkage for models fitted by lm, glm, coxph, or (for
R <= 3.1.0) mfp is available.