Recent results in ridge regression methods

M. Alkhamisi () and I. MacNeill ()

METRON, 2015, vol. 73, issue 3, 359-376

Abstract: Necessary and sufficient conditions for superiority of the restricted ridge estimator over the restricted least squares estimator are derived when the set of a prior restrictions on parameters are assumed to be incorrect (as well as when the restrictions are assumed to hold). Condition number and trace of mean square error criteria are used to gauge the goodness of some new and some known ridge parameters in rectifying the collinearity problem in three well known real life data sets and a Monte Carlo simulation. Tables 1, 2, 3, 4 and 5 reveal the superiority of the newly formed ridge parameters over some known ridge parameters by means of the foregoing criteria. Copyright Sapienza Università di Roma 2015

Keywords: Change point; Collinearity; Condition number; Eigenvalues; Restricted ridge estimator; Ridge estimator; TMSE; Primary 62J07; 62J05; Secondary 15A12; 15A18 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s40300-015-0065-4

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