A Comparison of Ridge Estimators
作者:
DeanW. Wichern,
GilbertA. Churchill,
期刊:
Technometrics
(Taylor Available online 1978)
卷期:
Volume 20,
issue 3
页码: 301-311
ISSN:0040-1706
年代: 1978
DOI:10.1080/00401706.1978.10489675
出版商: Taylor & Francis Group
关键词: Linear regression model;Ridge estimator;Ridge trace;Mean square error
数据来源: Taylor
摘要:
Least squares estimates of the parameters in the usual linear regression model are likely to be too large in absolute value and possibly of the wrong sign when the vectors of explanatory variables are multicollinear. Hoer1 and Kennard have demonstrated that these undesirable effects of multicollinearity can be reduced by using “ridge” estimates in place of the least squares estimates. Unfortunately, ordinary ridge estimates depend on a value,k, which, in practice, is determined by the data. Several mechanical rules and a graphical procedure, known as the ridge trace, have been proposed for selectingk.
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