Modified ridge regression parameters: A comparative Monte Carlo study
Küçük Resim Yok
Tarih
2014
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
HACETTEPE UNIV, FAC SCI
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
In multiple regression analysis, the independent variables should be uncorrelated within each other. If they are highly intercorrelated, this serious problem is called multicollinearity. There are several methods to get rid of this problem and one of the most famous one is the ridge regression. In this paper, we will propose some modified ridge parameters. We will compare our estimators with some estimators proposed earlier according to mean squared error (MSE) criterion. All results are calculated by a Monte Carlo simulation. According to simulation study, our estimators perform better than the others in most of the situations in the sense of MSE.
Açıklama
Anahtar Kelimeler
Multicollinearity, multiple linear regression, ridge regression, ridge estimator, Monte Carlo Simulation
Kaynak
HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS
WoS Q Değeri
Q4
Scopus Q Değeri
Q3
Cilt
43
Sayı
5
