On developing ridge regression parameters : a graphical investigation
Muniz, Gisela
Golam Kibria, B. M.
Mansson, Kristofer
Shukur, Ghazi

Date: 2012
Abstract: In this paper we review some existing and propose some new estimators for estimating the ridge parameter. All in all 19 different estimators have been studied. The investigation has been carried out using Monte Carlo simulations. A large number of different models have been investigated where the variance of the random error, the number of variables included in the model, the correlations among the explanatory variables, the sample size and the unknown coefficient vector were varied. For each model we have performed 2000 replications and presented the results both in term of figures and tables. Based on the simulation study, we found that increasing the number of correlated variable, the variance of the random error and increasing the correlation between the independent variables have negative effect on the mean squared error. When the sample size increases the mean squared error decreases even when the correlation between the independent variables and the variance of the random error are large. In all situations, the proposed estimators have smaller mean squared error than the ordinary least squares and other existing estimators.
Rights: Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades. Creative Commons
Language: Anglès.
Document: article ; recerca ; publishedVersion
Subject: Linear model ; LSE ; MSE ; Monte Carlo simulations ; Multicollinearity ; Ridge regression
Published in: SORT : statistics and operations research transactions, Vol. 36, Núm. 2 (juliol-desembre 2012) , p. 115-138, ISSN 1696-2281

Adreça alternativa: https://www.raco.cat/index.php/SORT/article/view/260676

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 Record created 2013-01-09, last modified 2019-05-02

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