On developing ridge regression parameters: a graphical investigation

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Document typeArticle
Defense date2012
PublisherInstitut d'Estadística de Catalunya
Rights accessOpen Access
Abstract
In this paper we review some existing and propose some new est
imators for estimating the ridge
parameter. All in all 19 different estimators have been stud
ied. The investigation has been carried
out using Monte Carlo simulations. A large number of differe
nt models have been investigated
where the variance of the random error, the number of variabl
es included in the model, the
correlations among the explanatory variables, the sample s
ize and the unknown coefficient vector
were varied. For each model we have performed 2000 replicati
ons and presented the results both
in term of figures and tables. Based on the simulation study, w
e found that increasing the number
of correlated variable, the variance of the random error and
increasing the correlation between
the independent variables have negative effect on the mean s
quared error. When the sample size
increases the mean squared error decreases even when the cor
relation between the independent
variables and the variance of the random error are large. In a
ll situations, the proposed estimators
have smaller mean squared error than the ordinary least squa
res and other existing estimators
CitationMuniz, Gisela [et al.]. On developing ridge regression parameters: a graphical investigation. "SORT", vol. 36, núm. 2, p. 115-138.
ISSN1696-2281
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