A Proposed Ridge Parameter to Improve the Least Squares Estimator

被引:14
作者
Khalaf, Ghadban [1 ,2 ]
机构
[1] King Khalid Univ, Dept Math, Stat, Abha, Saudi Arabia
[2] King Khalid Univ, Fac Sci, Abha, Saudi Arabia
关键词
Multicollinearity; ridge regression; Monte Carlo simulation;
D O I
10.22237/jmasm/1351743240
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
Ridge regression, a form of biased linear estimation, is a more appropriate technique than ordinary least squares (OLS) estimation in the case of highly intercorrelated explanatory variables in the linear regression model (Y) over right arrow = X (beta) over right arrow + (mu) over right arrow Two proposed ridge regression parameters from the mean square error (MSE) perspective are evaluated. A simulation study was conducted to demonstrate the performance of the proposed estimators compared to the OLS, HK and HKB estimators. Results show that the suggested estimators outperform the OLS and the other estimators regarding the ridge parameters in all situations examined.
引用
收藏
页码:443 / 449
页数:7
相关论文
共 20 条
[1]   A Monte Carlo study of recent ridge parameters [J].
Alkhamisi, M. A. ;
Shukur, G. .
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2007, 36 (03) :535-547
[2]   Some modifications for choosing ridge parameters [J].
Alkhamisi, Mahdi ;
Khalaf, Ghadban ;
Shukur, Ghazi .
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2006, 35 (11) :2005-2020
[3]  
[Anonymous], 1998, REGRESSION ANAL STAT
[4]  
Draper N.R., 1998, APPL REGRESSION ANAL, V326, DOI 10.1002/9781118625590.ch11
[5]   A SIMULATION STUDY OF SOME RIDGE ESTIMATORS [J].
GIBBONS, DG .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1981, 76 (373) :131-139
[6]   CLASS OF BIASED ESTIMATORS IN LINEAR-REGRESSION [J].
HOCKING, RR ;
SPEED, FM ;
LYNN, MJ .
TECHNOMETRICS, 1976, 18 (04) :425-437
[7]   RIDGE REGRESSION - BIASED ESTIMATION FOR NONORTHOGONAL PROBLEMS [J].
HOERL, AE ;
KENNARD, RW .
TECHNOMETRICS, 1970, 12 (01) :55-&
[8]   Choosing ridge parameter for regression problems [J].
Khalaf, G ;
Shukur, G .
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2005, 34 (05) :1177-1182
[9]  
Khalaf G., 2012, COMMUNICATI IN PRESS
[10]  
Khalaf G., 2011, INT J STAT ANAL, V1, P325