1. Improved ridge estimators in a linear regression model.
- Author
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Liu, Xu-Qing, Gao, Feng, and Yu, Zhen-Feng
- Subjects
- *
RIDGE regression (Statistics) , *LINEAR statistical models , *MEAN square algorithms , *NUMERICAL solutions to equations , *MULTICOLLINEARITY , *SAMPLING errors - Abstract
In this paper, the notion of the improved ridge estimator (IRE) is put forward in the linear regression model y=X β+e. The problem arises if augmenting the equation 0=c′α+ε instead of 0=C α+ϵ to the model. Three special IREs are considered and studied under the mean-squared error criterion and the prediction error sum of squares criterion. The simulations demonstrate that the proposed estimators are effective and recommendable, especially when multicollinearity is severe. [ABSTRACT FROM AUTHOR]
- Published
- 2013
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