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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