Inequality constrained ridge regression estimator


Toker S. , Siray G. , KAÇIRANLAR S.

STATISTICS & PROBABILITY LETTERS, cilt.83, ss.2391-2398, 2013 (SCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 83 Konu: 10
  • Basım Tarihi: 2013
  • Doi Numarası: 10.1016/j.spl.2013.06.023
  • Dergi Adı: STATISTICS & PROBABILITY LETTERS
  • Sayfa Sayısı: ss.2391-2398

Özet

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.