Directed Ridge Regression Techniques in Cases of Multicollinearity
作者:
DavidK. Guilkey,
JamesL. Murphy,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1975)
卷期:
Volume 70,
issue 352
页码: 769-775
ISSN:0162-1459
年代: 1975
DOI:10.1080/01621459.1975.10480301
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
In the presence of multicollinearity ridge regression techniques result in estimated coefficients that are biased but have a smaller variance than ordinary least squares (OLS) estimators and may, therefore, have a smaller mean square error. The directed ridge estimator (DRE) suggested here alters only diagonal elements corresponding to relatively small eigenvalues. The advantage of our method is that the resulting estimates may be less biased than in other ridge regression methods that alter all diagonal elements. A set of experiments indicate that various ridge estimators result in reduced mean square error in the coefficient estimates relative to OLS and that DRE performs well relative to the others.
点击下载:
PDF (548KB)
返 回