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Ridge estimation in logistic regression

 

作者: A. H. Lee,   M. J. Silvapulle,  

 

期刊: Communications in Statistics - Simulation and Computation  (Taylor Available online 1988)
卷期: Volume 17, issue 4  

页码: 1231-1257

 

ISSN:0361-0918

 

年代: 1988

 

DOI:10.1080/03610918808812723

 

出版商: Marcel Dekker, Inc.

 

关键词: collinearity;mean squared error;ridge regression;ridge trace

 

数据来源: Taylor

 

摘要:

The variance of the Maximum Likelihood Estimator (MLE) of the slope parameter in a logistic regression model becomes large as the degree of collinearity among the explanatory variables increases. In a Monte Carlo study, we observed that a ridge type estimator is at least as good as, and often much better than, the MLE in terms of Total and Prediction Mean Squared Error criteria. Using a set of medical data it is illustrated that the ridge trace of the estimator considered here is a useful diagnostic tool in logistic regression analysis.

 

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