Developing ridge estimation method for median regression

Zangin Zeebari

Journal of Applied Statistics, 2012, vol. 39, issue 12, 2627-2638

Abstract: In this paper, the ridge estimation method is generalized to the median regression. Though the least absolute deviation (LAD) estimation method is robust in the presence of non-Gaussian or asymmetric error terms, it can still deteriorate into a severe multicollinearity problem when non-orthogonal explanatory variables are involved. The proposed method increases the efficiency of the LAD estimators by reducing the variance inflation and giving more room for the bias to get a smaller mean squared error of the LAD estimators. This paper includes an application of the new methodology and a simulation study as well.

Date: 2012
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DOI: 10.1080/02664763.2012.724663

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