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Modified Ridge Regr...
Modified Ridge Regression Estimators
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- Khalaf, Ghadban (författare)
- Department of Mathematics, King Khalid University, Abha, Saudi Arabia
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- Månsson, Kristofer (författare)
- Jönköping University,IHH, Economics, Finance and Statistics,Statistics
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- Shukur, Ghazi (författare)
- Linnéuniversitetet,Institutionen för nationalekonomi och statistik (NS),Jönköping University,Nationalekonomi och Statistik,IHH, Economics, Finance and Statistics
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(creator_code:org_t)
- Informa UK Limited, 2013
- 2013
- Engelska.
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 42:8, s. 1476-1487
- Relaterad länk:
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https://urn.kb.se/re...
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visa fler...
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https://doi.org/10.1...
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https://urn.kb.se/re...
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Abstract
Ämnesord
Stäng
- Ridge Regression is a variant of ordinary multiple linear regression whose goal is to circumvent the problem of predictors collinearity. It gives-up the Ordinary Least Squares (OLS) estimator as a method for estimating the parameters of the multiple linear regression model . Different methods of specifying the ridge parameter k were proposed and evaluated in terms of Mean Square Error (MSE) by simulation techniques. Comparison is made with other ridge-type estimators evaluated elsewhere. The new estimators of the ridge parameters are shown to have very good MSE properties compared with the other estimators of the ridge parameter and the OLS estimator. Based on our results from the simulation study we may recommend the new ridge parameters to practitioners.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Multicollinearty
- Ridge regression
- Monte Carlo simulation
- Statistics/Econometrics
- Statistik
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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