Inequality constrained ridge regression estimator

被引：5

作者：

Toker, Selma ^{[1
]}

Siray, Gulesne Ustundag ^{[1
]}

Kaciranlar, Selahattin ^{[1
]}

机构：

[1] Cukurova Univ, Fac Sci & Letters, Dept Stat, TR-01330 Adana, Turkey

来源：

STATISTICS & PROBABILITY LETTERS | 2013年 / 83卷 / 10期

关键词：

Multicollinearity; Ridge regression; Inequality constrained least squares estimator; Inequality constrained ridge regression estimator; Lemke algorithm;

D O I：

10.1016/j.spl.2013.06.023

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We carry out the idea of inequality constrained least squares (ICLS) estimation of Liew (1976) to the inequality constrained ridge regression (ICRR) estimation. We propose ICRR estimator by reducing the primal dual relation to the fundamental problem of Dantzig-Cottle (1967,1974) with Lemke (1962) algorithm. Furthermore, we conduct a Monte Carlo experiment. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：2391 / 2398

页数：8

共 12 条

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