JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, vol.86, no.12, pp.2429-2440, 2016 (Journal Indexed in SCI)
Article / Article
Title of Journal :
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
Autocorrelation, ridge regression, multicollinearity, ordinary cross validation, generalized cross validation, conceptual prediction, PERFORMANCE, PREDICTION, SIMULATION, ERRORS
In this paper, we investigated the cross validation measures, namely OCV, GCV and Cp under the linear regression models when the error structure is autocorrelated and regressor data are correlated. The best performed ridge regression estimator is obtained by getting the optimal ridge parameter so as to minimize these measures. A Monte Carlo simulation study is given to see how the optimal ridge parameter is affected by autocorrelation and the strength of multicollinearity.