Prediction by Regression in Multivariate Normal Distributions

Sclove, Stanley L.

doi:10.2139/ssrn.1758210

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Prediction by Regression in Multivariate Normal Distributions

13 Pages Posted: 11 Feb 2011

See all articles by Stanley L. Sclove

Stanley L. Sclove

University of Illinois at Chicago - Information & Decision Sciences Department

Date Written: February 8, 2011

Abstract

In the context of the multivariate Normal regression model, a mean squared error of prediction is developed for making the choice of subset of explanatory variables for predicting the response variable in future samples.

Keywords: Regression, Prediction, Mean Squared Error, Subset Regression

JEL Classification: C13, C44, C52

Suggested Citation: Suggested Citation

Sclove, Stanley L., Prediction by Regression in Multivariate Normal Distributions (February 8, 2011). Available at SSRN: https://ssrn.com/abstract=1758210 or http://dx.doi.org/10.2139/ssrn.1758210