Modified ridge regression parameters: A comparative Monte Carlo study

Year 2014, Volume: 43 Issue: 5, 827 - 841, 01.10.2014

Yasin Asar Adnan Karaibrahimoğlu Aşır Genç

https://izlik.org/JA42LR73DJ

Abstract

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. 

Keywords

Multicollinearity , multiple linear regression , ridge regression , ridge estimator , Monte Carlo Simulation

References

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