Inequality constrained ridge regression estimator


Toker S., Siray G., KAÇIRANLAR S.

STATISTICS & PROBABILITY LETTERS, vol.83, no.10, pp.2391-2398, 2013 (Peer-Reviewed Journal) identifier identifier

  • Publication Type: Article / Article
  • Volume: 83 Issue: 10
  • Publication Date: 2013
  • Doi Number: 10.1016/j.spl.2013.06.023
  • Journal Name: STATISTICS & PROBABILITY LETTERS
  • Journal Indexes: Science Citation Index Expanded, Scopus
  • Page Numbers: pp.2391-2398
  • Keywords: Multicollinearity, Ridge regression, Inequality constrained least squares estimator, Inequality constrained ridge regression estimator, Lemke algorithm

Abstract

We carry out the idea of inequality constrained least squares (ICLS) estimation of Liew (1976) to the inequality constrained ridge regression (ICRR) estimation. We propose ICRR estimator by reducing the primal dual relation to the fundamental problem of Dantzig-Cottle (1967,1974) with Lemke (1962) algorithm. Furthermore, we conduct a Monte Carlo experiment. (C) 2013 Elsevier B.V. All rights reserved.